N-CSR 1 main.htm

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-5251

Fidelity Concord Street Trust
(Exact name of registrant as specified in charter)

82 Devonshire St., Boston, Massachusetts 02109
 (Address of principal executive offices)       (Zip code)

Eric D. Roiter, Secretary

82 Devonshire St.

Boston, Massachusetts 02109
(Name and address of agent for service)

Registrant's telephone number, including area code: 617-563-7000

Date of fiscal year end:

February 28

 

 

Date of reporting period:

February 28, 2007

Item 1. Reports to Stockholders

Spartan® Total Market Index

Spartan Extended Market Index

Spartan International Index

Funds -
Investor Class
Fidelity Advantage Class

Annual Report

February 28, 2007

(2_fidelity_logos) (Registered_Trademark)

Contents

Chairman's Message

<Click Here>

Ned Johnson's message to shareholders

Shareholder Expense Example

<Click Here>

An example of shareholder expenses

Spartan Total Market Index Fund

<Click Here>

Performance

<Click Here>

Management's Discussion

<Click Here>

Investment Changes

<Click Here>

Investments

<Click Here>

Financial Statements

Spartan Extended Market Index Fund

<Click Here>

Performance

<Click Here>

Management's Discussion

<Click Here>

Investment Changes

<Click Here>

Investments

<Click Here>

Financial Statements

Spartan International Index Fund

<Click Here>

Performance

<Click Here>

Management's Discussion

<Click Here>

Investment Changes

<Click Here>

Investments

<Click Here>

Financial Statements

Notes

<Click Here>

Notes to the Financial Statements

Report of Independent Registered Public Accounting Firm

<Click Here>

Trustees and Officers

<Click Here>

Distributions

<Click Here>

Prospectus

P-1

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR Corp. or an affiliated company.

This report and the financial statements contained herein are submitted for the general information of the shareholders of the funds. This report is not authorized for distribution to prospective investors in the funds unless preceded or accompanied by an effective prospectus.

A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent quarterly holdings report, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com/holdings.

NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE

Neither the funds nor Fidelity Distributors Corporation is a bank.

Annual Report

Chairman's Message

(Photograph of Edward C. Johnson 3d.)

Dear Shareholder:

Substantial single-day losses are not uncommon in the equity markets, and when they occur - as in late February - investors can be better served in the long term by buying good stocks at lower prices than by moving their money to the sidelines. While financial markets are always unpredictable, there are a number of time-tested principles that can put the historical odds in your favor.

One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There are tax advantages and cost benefits to consider as well. The more you sell, the more taxes you pay, and the more you trade, the higher the costs. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.

You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies

indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).

A third investment principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces unconstructive "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.

We invite you to contact us via the Internet, through our Investor Centers or over the phone. It is our privilege to provide you the information you need to make the investments that are right for you.

Sincerely,

/s/Edward C. Johnson 3d

Edward C. Johnson 3d

Annual Report

Shareholder Expense Example

As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including redemption fees, and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2006 to February 28, 2007).

Actual Expenses

The first line of the accompanying table for each class of each fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. An annual index fund fee of $10 that is charged once a year may apply for certain accounts with a value of less than $10,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table for each class of each fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. An annual index fund fee of $10 that is charged once a year may apply for certain accounts with a value of less than $10,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

Beginning
Account Value
September 1, 2006

Ending
Account Value
February 28, 2007

Expenses Paid
During Period*
September 1, 2006
to February 28, 2007

Spartan Total Market Index

Investor Class

Actual

$ 1,000.00

$ 1,098.20

$ .52

Hypothetical A

$ 1,000.00

$ 1,024.30

$ .50

Fidelity Advantage Class

Actual

$ 1,000.00

$ 1,098.10

$ .36

Hypothetical A

$ 1,000.00

$ 1,024.45

$ .35

Spartan Extended Market Index

Investor Class

Actual

$ 1,000.00

$ 1,131.20

$ .53

Hypothetical A

$ 1,000.00

$ 1,024.30

$ .50

Fidelity Advantage Class

Actual

$ 1,000.00

$ 1,131.70

$ .37

Hypothetical A

$ 1,000.00

$ 1,024.45

$ .35

Spartan International Index

Investor Class

Actual

$ 1,000.00

$ 1,120.50

$ .53

Hypothetical A

$ 1,000.00

$ 1,024.30

$ .50

Fidelity Advantage Class

Actual

$ 1,000.00

$ 1,120.80

$ .37

Hypothetical A

$ 1,000.00

$ 1,024.45

$ .35

A 5% return per year before expenses

* Expenses are equal to each Class' annualized expense ratio (shown in the table below); multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

Annual Report

Annualized
Expense Ratio

Spartan Total Market Index

Investor Class

.10%

Fidelity Advantage Class

.07%

Spartan Extended Market Index

Investor Class

.10%

Fidelity Advantage Class

.07%

Spartan International Index

Investor Class

.10%

Fidelity Advantage Class

.07%

Annual Report

Spartan Total Market Index Fund

Performance: The Bottom Line

Average annual total return reflects the change in the value of an investment, assuming reinvestment of the class' dividend income and capital gains (the profits earned upon the sale of securities that have grown in value) and assuming a constant rate of performance each year. The $10,000 table and the fund's returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.

Average Annual Total Returns

Periods ended February 28, 2007

Past 1
year

Past 5
years

Life of fund

Spartan® Total Market Index Fund - Investor Class A

12.05%

8.23%

6.50%

Spartan Total Market Index Fund - Fidelity Advantage Class B

12.08%

8.24%

6.50%

A From November 5, 1997.

B The initial offering of Fidelity Advantage Class took place on October 14, 2005. Returns prior to October 14, 2005, are those of Investor Class.

$10,000 Over Life of Fund

Let's say hypothetically that $10,000 was invested in Spartan® Total Market Index Fund - Investor Class on November 5, 1997, when the fund started. The chart shows how the value of your investment would have changed, and also shows how the Dow Jones Wilshire 5000 Composite IndexSM performed over the same period.



Annual Report

Spartan Total Market Index Fund

Management's Discussion of Fund Performance

Comments from Jeffrey Adams, who oversees the Spartan® Total Market Index Fund's investment management team as Head of Indexing for Geode Capital Management, LLC

A rosy year for stocks wilted just prior to the end of the 12-month period ending February 28, 2007. On the day prior to the period's close, the Dow Jones Industrial AverageSM plunged 416 points and the Standard & Poor's 500SM Index lost roughly 3.5% of its value, plummeting nearly 50 points and marking the benchmark's worst single-day performance since the day the market reopened after the 9/11 terrorist attacks. Though investors were obviously rattled by the development, it was only the 22nd-biggest decline for the S&P 500® in 20 years, and it could not overshadow how well stocks performed for the 12 months overall. For much of the past year, investors grew confident that the economy would not fall into a recession, and they bid up most broad-based stock indexes for six consecutive months from August through January. Overall for the year ending February 28, 2007, the broad stock market, as measured by the Dow Jones Wilshire 5000 Composite IndexSM, returned 12.15%, beating the 11.97% return of the S&P 500 during the period as well as the small-cap Russell 2000® Index, which rose 9.87%.

For the 12 months ending February 28, 2007, the fund's Investor Class and Fidelity Advantage Class shares gained 12.05% and 12.08%, respectively. These results were in line with the Dow Jones Wilshire 5000 Composite Index. The market's best performing sector was telecommunication services, followed by materials and utilities. No sector turned in negative results during the past year, although information technology gained only modestly, hurt by poor results from semiconductor-related companies. Health care was the worst performing sector. Energy giant Exxon Mobil continued to move up, as oil prices remained well above historical averages. Shares of communications equipment maker Cisco Systems rose on robust sales and profits. Telecommunications rivals AT&T and BellSouth both gained ground as well. The two companies, whose merger closed late in the period, turned in better-than-expected earnings. In financials, Bank of America was helped by favorable business trends and strong earnings growth. In contrast, computer and consumer electronics retailer Dell continued to struggle in the face of strong competition. The company responded by cutting prices, which in turn led to missed revenue targets. In health care, biotechnology stock Amgen saw its shares slide late in the period after a study revealed problems with the company's top-selling product, anemia drug Aranesp. Another laggard was semiconductor maker Advanced Micro Devices, which found itself in an unprofitable pricing war with its chief rival, Intel.

The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.

Annual Report

Spartan Total Market Index Fund

Investment Changes

Top Ten Stocks as of February 28, 2007

% of fund's
net assets

% of fund's net assets
6 months ago

Exxon Mobil Corp.

2.6

2.7

General Electric Co.

2.2

2.4

Citigroup, Inc.

1.5

1.6

Microsoft Corp.

1.5

1.6

AT&T, Inc.

1.4

1.3

Bank of America Corp.

1.4

1.6

Procter & Gamble Co.

1.3

1.4

Johnson & Johnson

1.1

1.3

Pfizer, Inc.

1.1

1.4

Altria Group, Inc.

1.1

1.1

15.2

Market Sectors as of February 28, 2007

% of fund's
net assets

% of fund's net assets
6 months ago

Financials

21.6

22.1

Information Technology

14.5

14.7

Health Care

11.7

12.5

Consumer Discretionary

11.3

10.7

Industrials

10.8

10.6

Energy

9.1

9.7

Consumer Staples

7.9

8.3

Utilities

3.6

3.7

Materials

3.4

3.1

Telecommunication Services

3.2

3.1

Annual Report

Spartan Total Market Index Fund

Investments February 28, 2007

Showing Percentage of Net Assets

Common Stocks - 97.1%

Shares

Value

CONSUMER DISCRETIONARY - 11.3%

Auto Components - 0.3%

Aftermarket Technology Corp. (a)

13,201

$ 295,438

American Axle & Manufacturing Holdings, Inc.

10,467

256,756

ArvinMeritor, Inc.

20,379

372,121

Bandag, Inc.

4,924

249,056

BorgWarner, Inc.

23,098

1,700,937

Cooper Tire & Rubber Co. (d)

21,555

317,721

Drew Industries, Inc. (a)

9,018

259,718

Exide Technologies (a)

54,619

429,305

Fuel Systems Solutions, Inc. (a)

1,791

39,205

GenTek, Inc. (a)

4,202

144,507

Gentex Corp.

78,892

1,318,285

Hayes Lemmerz International, Inc. (a)

12,653

62,632

Johnson Controls, Inc.

76,378

7,164,256

Lear Corp.

29,957

1,106,012

LKQ Corp. (a)

29,775

646,713

Modine Manufacturing Co.

18,795

463,673

Noble International Ltd.

15,109

285,107

Proliance International, Inc. (a)

1,414

6,151

Quantum Fuel Systems Technologies Worldwide, Inc. (a)(d)

18,321

26,382

Sauer-Danfoss, Inc.

8,867

327,547

Spartan Motors, Inc.

5,731

127,056

Standard Motor Products, Inc.

5,058

77,792

Stoneridge, Inc. (a)(d)

3,821

43,521

Strattec Security Corp. (a)

781

36,051

Superior Industries International, Inc.

4,538

97,340

Tenneco, Inc. (a)

20,705

503,132

The Goodyear Tire & Rubber Co. (a)(d)

70,202

1,728,373

TRW Automotive Holdings Corp. (a)

17,886

544,808

Visteon Corp. (a)

75,964

647,973

19,277,568

Automobiles - 0.3%

Coachmen Industries, Inc.

3,894

42,133

Fleetwood Enterprises, Inc. (a)

39,400

365,238

Ford Motor Co. (d)

738,128

5,845,974

General Motors Corp.

188,936

6,030,837

Harley-Davidson, Inc.

102,391

6,747,567

Monaco Coach Corp.

5,658

91,150

National R.V. Holdings, Inc. (a)

300

960

Thor Industries, Inc.

13,911

582,036

Winnebago Industries, Inc.

10,340

336,257

20,042,152

Distributors - 0.1%

All American Semiconductor, Inc. (a)

3,800

11,248

Audiovox Corp. Class A (a)

4,180

63,118

Building Materials Holding Corp.

17,924

372,640

Genuine Parts Co.

64,717

3,151,718

Handleman Co. (d)

10,146

77,110

Shares

Value

Keystone Automotive Industries, Inc. (a)

3,249

$ 107,379

Source Interlink Companies, Inc. (a)

5,135

37,023

3,820,236

Diversified Consumer Services - 0.3%

Apollo Group, Inc. Class A (non-vtg.) (a)

58,083

2,746,745

Bright Horizons Family Solutions, Inc. (a)

13,407

537,353

Career Education Corp. (a)

42,107

1,245,525

Coinstar, Inc. (a)

25,148

742,117

Corinthian Colleges, Inc. (a)

57,826

806,673

CPI Corp.

2,388

119,400

DeVry, Inc.

33,317

920,882

Educate, Inc. (a)

5,603

43,928

EVCI Career Colleges, Inc. (a)

2,100

840

H&R Block, Inc.

111,366

2,425,551

INVESTools, Inc. (a)

23,100

368,445

ITT Educational Services, Inc. (a)

14,207

1,136,276

Jackson Hewitt Tax Service, Inc.

14,841

478,622

Laureate Education, Inc. (a)

21,079

1,257,995

Mace Security International, Inc. (a)

1,100

3,080

Matthews International Corp. Class A

10,351

414,144

Nobel Learning Communities, Inc. (a)

1,000

13,420

Pre-Paid Legal Services, Inc. (d)

3,486

144,251

Princeton Review, Inc. (a)

17,342

89,832

Regis Corp.

14,023

590,088

Service Corp. International

120,089

1,408,644

ServiceMaster Co.

123,911

1,692,624

Sotheby's Class A (ltd. vtg.)

24,404

887,329

Steiner Leisure Ltd. (a)

8,837

399,521

Stewart Enterprises, Inc. Class A

64,820

512,726

Strayer Education, Inc.

3,972

468,259

Universal Technical Institute, Inc. (a)(d)

4,802

113,471

Vertrue, Inc. (a)

2,866

139,803

Weight Watchers International, Inc.

17,022

804,290

20,511,834

Hotels, Restaurants & Leisure - 1.9%

AFC Enterprises, Inc. (a)

14,058

241,657

Ambassadors Group, Inc.

12,856

381,823

American Real Estate Partners LP

3,572

379,525

Ameristar Casinos, Inc.

11,703

379,411

Applebee's International, Inc.

30,870

789,037

Bally Technologies, Inc. (a)

14,439

315,492

Bally Total Fitness Holding Corp. (a)(d)

7,478

15,405

BJ's Restaurants, Inc. (a)

2,508

51,113

Bluegreen Corp. (a)

13,016

158,535

Bob Evans Farms, Inc.

23,966

866,611

Boyd Gaming Corp.

19,624

919,777

Brinker International, Inc.

47,837

1,626,936

Buca, Inc. (a)

4,631

26,211

Buffalo Wild Wings, Inc. (a)

5,621

309,155

Burger King Holdings, Inc.

7,564

161,113

California Pizza Kitchen, Inc. (a)

4,446

142,183

Carnival Corp. unit

167,564

7,778,321

CBRL Group, Inc.

9,381

437,717

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - continued

CEC Entertainment, Inc. (a)

10,771

$ 459,275

Cedar Fair LP (depository unit)

19,151

552,889

Champps Entertainment, Inc. (a)

1,600

9,520

Chipotle Mexican Grill, Inc. Class A (d)

9,747

584,723

Choice Hotels International, Inc.

13,552

508,064

Churchill Downs, Inc.

2,627

115,220

CKE Restaurants, Inc.

29,348

567,003

Darden Restaurants, Inc.

49,513

2,028,052

Denny's Corp. (a)

50,513

239,432

Domino's Pizza, Inc.

9,673

298,509

Dover Downs Gaming & Entertainment, Inc.

1,755

21,429

Dover Motorsports, Inc.

11,625

61,961

Empire Resorts, Inc. (a)

15,456

168,625

Gaylord Entertainment Co. (a)

24,853

1,341,316

Great Wolf Resorts, Inc. (a)

13,290

177,687

Harrah's Entertainment, Inc.

71,990

6,082,435

Hilton Hotels Corp.

141,250

4,986,125

IHOP Corp.

14,923

831,510

International Game Technology

141,500

5,836,875

International Speedway Corp. Class A

19,173

1,020,004

Interstate Hotels & Resorts, Inc. (a)

156

1,061

Isle of Capri Casinos, Inc. (a)

7,404

198,797

Jack in the Box, Inc. (a)

10,284

702,809

Krispy Kreme Doughnuts, Inc. (a)(d)

11,971

121,745

Landry's Seafood Restaurants, Inc.

4,778

140,569

Las Vegas Sands Corp. (a)

41,881

3,613,493

Life Time Fitness, Inc. (a)

11,586

553,811

Littlefield Corp.

2,520

2,747

Lodgian, Inc. (a)

4,642

62,110

Lodgian, Inc.:

Class A warrants 11/25/07 (a)

2

0

Class B warrants 11/25/09 (a)

8

0

Luby's, Inc. (a)

17,000

175,610

Marcus Corp.

23,391

515,070

Marriott International, Inc. Class A

133,811

6,410,885

McCormick & Schmick's Seafood Restaurants (a)

16,005

402,846

McDonald's Corp.

490,040

21,424,549

MGM Mirage, Inc. (a)

46,004

3,267,204

Monarch Casino & Resort, Inc. (a)

5,587

145,374

Morgans Hotel Group Co.

24,428

426,513

MTR Gaming Group, Inc. (a)

6,687

87,533

Multimedia Games, Inc. (a)(d)

5,149

54,373

O'Charleys, Inc. (a)

4,598

96,420

Orient Express Hotels Ltd. Class A

21,356

1,102,610

OSI Restaurant Partners, Inc.

27,752

1,110,080

P.F. Chang's China Bistro, Inc. (a)(d)

10,054

439,259

Panera Bread Co. Class A (a)(d)

10,658

652,589

Papa John's International, Inc.

8,359

246,841

Penn National Gaming, Inc. (a)

27,630

1,288,387

Shares

Value

Pinnacle Entertainment, Inc. (a)

30,968

$ 1,001,505

Progressive Gaming International Corp. (a)(d)

38,803

312,364

Rare Hospitality International, Inc. (a)

24,553

757,706

Red Robin Gourmet Burgers, Inc. (a)

11,155

440,399

Royal Caribbean Cruises Ltd.

51,176

2,074,163

Rubio's Restaurants, Inc. (a)

5,755

53,234

Ruby Tuesday, Inc.

15,633

458,047

Ruth's Chris Steak House, Inc. (a)

25,925

559,462

Scientific Games Corp. Class A (a)

28,781

941,139

Shuffle Master, Inc. (a)(d)

8,895

189,197

Six Flags, Inc. (d)

14,808

91,662

Sonic Corp.

23,999

520,058

SPEEDUS Corp. (a)

6,200

7,688

Speedway Motorsports, Inc.

7,046

263,309

Starbucks Corp. (a)

311,408

9,622,507

Starwood Hotels & Resorts Worldwide, Inc.

87,204

5,738,023

Station Casinos, Inc.

14,761

1,273,579

Steak n Shake Co. (a)

14,127

242,843

Texas Roadhouse, Inc. Class A (a)

35,698

522,976

The Cheesecake Factory, Inc. (a)

33,419

912,005

Triarc Companies, Inc. Class B

38,611

696,156

Trump Entertainment Resorts, Inc. (a)(d)

19,908

350,182

Vail Resorts, Inc. (a)

15,116

785,427

Wendy's International, Inc.

36,338

1,166,086

WMS Industries, Inc. (a)

9,845

368,498

Wyndham Worldwide Corp. (a)

77,222

2,718,214

Wynn Resorts Ltd. (d)

29,296

2,871,594

Yum! Brands, Inc.

101,897

5,903,912

124,955,896

Household Durables - 0.7%

American Biltrite, Inc. (a)

400

3,760

American Greetings Corp. Class A (d)

16,830

394,159

Avatar Holdings, Inc. (a)(d)

1,964

141,526

Bassett Furniture Industries, Inc.

2,149

33,911

Beazer Homes USA, Inc.

16,439

648,683

Black & Decker Corp.

27,033

2,278,071

Blyth, Inc.

10,848

222,384

Brookfield Homes Corp. (d)

6,161

218,716

California Coastal Communities, Inc.

6,643

130,601

Cavco Industries, Inc. (a)

896

29,577

Centex Corp.

44,331

2,055,185

Champion Enterprises, Inc. (a)

29,908

237,170

Cobra Electronics Corp.

1,200

12,792

Craftmade International, Inc.

2,030

33,515

CSS Industries, Inc.

7,858

270,158

D.R. Horton, Inc.

119,138

3,022,531

Dixie Group, Inc. (a)

3,463

45,850

Dominion Homes, Inc. (a)

300

1,440

Ethan Allen Interiors, Inc.

8,572

315,964

Flexsteel Industries, Inc.

2,030

30,470

Fortune Brands, Inc.

58,398

4,695,199

Furniture Brands International, Inc. (d)

23,101

370,540

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Household Durables - continued

Garmin Ltd. (d)

42,753

$ 2,341,154

Harman International Industries, Inc.

26,187

2,596,703

Helen of Troy Ltd. (a)

5,242

121,405

Hooker Furniture Corp.

15,000

282,750

Hovnanian Enterprises, Inc. Class A

10,919

339,581

iRobot Corp. (a)(d)

17,599

244,802

Jarden Corp. (a)

22,219

813,882

KB Home

31,940

1,584,224

Kimball International, Inc. Class B

4,777

100,460

Koss Corp.

1,552

33,818

La-Z-Boy, Inc. (d)

24,674

339,514

Leggett & Platt, Inc.

69,087

1,645,652

Lennar Corp. Class A

54,967

2,706,575

Lenox Group, Inc. (a)

2,200

11,528

Levitt Corp. Class A

2,687

35,065

Libbey, Inc.

2,019

25,036

Lifetime Brands, Inc.

300

5,805

M.D.C. Holdings, Inc.

12,004

612,924

M/I Homes, Inc.

2,766

86,935

Meritage Homes Corp. (a)

7,048

273,110

MITY Enterprises, Inc. (a)

2,747

53,567

Mohawk Industries, Inc. (a)(d)

24,174

2,115,708

National Presto Industries, Inc.

1,194

75,485

Newell Rubbermaid, Inc.

105,329

3,225,174

NVR, Inc. (a)(d)

2,158

1,460,966

Orleans Homebuilders, Inc. (d)

3,981

58,760

Palm Harbor Homes, Inc. (a)(d)

5,872

76,630

Pulte Homes, Inc.

80,472

2,378,752

Rockford Corp. (a)(d)

2,500

6,950

Russ Berrie & Co., Inc. (a)

3,505

49,105

Ryland Group, Inc.

19,044

917,349

Salton, Inc. (a)(d)

1,800

4,212

Sealy Corp., Inc.

8,986

155,009

Skyline Corp.

1,539

52,726

Snap-On, Inc.

18,570

930,357

Standard Pacific Corp.

21,077

538,096

Stanley Furniture Co., Inc.

5,015

107,873

Syntax-Brillian Corp. (a)(d)

35,013

285,706

Tarragon Corp.

4,607

60,444

Technical Olympic USA, Inc. (d)

6,176

55,646

Tempur-Pedic International, Inc.

32,304

804,047

The Stanley Works

32,139

1,785,964

Toll Brothers, Inc. (a)

47,676

1,423,605

Tupperware Brands Corp.

17,293

404,829

Universal Electronics, Inc. (a)

4,060

106,047

Virco Manufacturing Co. (a)

3,120

27,799

WCI Communities, Inc. (d)

14,085

293,250

Whirlpool Corp.

29,361

2,589,934

49,437,115

Internet & Catalog Retail - 0.3%

1-800 CONTACTS, Inc. (a)

2,542

44,815

Shares

Value

1-800-FLOWERS.com, Inc. Class A (a)

28,158

$ 205,835

Amazon.com, Inc. (a)(d)

120,256

4,706,820

Audible, Inc. (a)

1,300

12,389

Blair Corp.

121

5,070

Blue Nile, Inc. (a)(d)

13,187

514,293

Bluefly, Inc. (a)

2,800

3,360

Coldwater Creek, Inc. (a)

20,231

372,250

dELiA*s, Inc. (a)

3,463

34,976

Drugstore.com, Inc. (a)

8,721

24,157

Expedia, Inc. (a)(d)

107,993

2,295,931

FTD Group, Inc. (a)

5,971

115,599

GSI Commerce, Inc. (a)

6,423

122,872

Hollywood Media Corp. (a)

1,200

5,340

IAC/InterActiveCorp (a)

96,865

3,797,108

Liberty Media Holding Corp. - Interactive Series A (a)

267,939

6,315,322

Netflix, Inc. (a)(d)

18,742

422,257

NutriSystem, Inc. (a)(d)

13,874

626,411

Overstock.com, Inc. (a)(d)

2,976

54,133

PC Mall, Inc. (a)

500

6,150

PetMed Express, Inc. (a)

7,165

90,637

Priceline.com, Inc. (a)(d)

16,759

878,339

Stamps.com, Inc. (a)

4,851

75,239

Systemax, Inc. (a)(d)

7,631

202,603

ValueVision Media, Inc. Class A (a)

6,687

83,654

VistaPrint Ltd. (a)

12,385

460,970

21,476,530

Leisure Equipment & Products - 0.2%

Adams Golf, Inc. (a)

400

740

Arctic Cat, Inc.

5,971

110,881

Brunswick Corp.

45,316

1,479,567

Callaway Golf Co.

38,089

575,144

Eastman Kodak Co. (d)

116,863

2,790,688

Fairchild Corp. Class A (a)

9,076

18,606

Hasbro, Inc.

65,062

1,840,604

JAKKS Pacific, Inc. (a)

5,421

132,869

Johnson Outdoors, Inc. Class A (a)

2,747

50,078

K2, Inc. (a)

20,523

240,119

Leapfrog Enterprises, Inc. Class A (a)(d)

5,168

53,437

Marine Products Corp. (d)

13,658

126,746

MarineMax, Inc. (a)

3,071

70,019

Marvel Entertainment, Inc. (a)

21,061

585,285

Mattel, Inc.

144,159

3,749,576

Meade Instruments Corp. (a)

2,600

6,084

Nautilus, Inc.

6,001

103,517

Oakley, Inc.

21,558

452,287

Polaris Industries, Inc. (d)

12,951

620,223

Pool Corp.

17,700

621,270

RC2 Corp. (a)

10,486

414,407

Smith & Wesson Holding Corp. (a)(d)

23,199

288,132

Steinway Musical Instruments, Inc.

5,374

172,237

Sturm Ruger & Co., Inc. (a)

42,290

444,468

14,946,984

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Media - 3.5%

4Kids Entertainment, Inc. (a)

12,821

$ 238,342

ACME Communications, Inc. (a)

6,009

34,912

ADVO, Inc.

13,914

458,884

Alloy, Inc. (a)

1,732

20,264

Arbitron, Inc.

8,696

389,668

Ballantyne of Omaha, Inc. (a)

100

550

Belo Corp. Series A

43,507

810,970

Cablevision Systems Corp. - NY Group Class A

82,193

2,421,406

Carmike Cinemas, Inc. (d)

16,306

369,820

Catalina Marketing Corp.

16,828

526,716

CBS Corp. Class B

274,449

8,329,527

Charter Communications, Inc. Class A (a)

192,995

580,915

Citadel Broadcasting Corp.

17,473

177,875

CKX, Inc. (a)(d)

11,594

152,577

Clear Channel Communications, Inc.

176,780

6,395,900

Clear Channel Outdoor Holding, Inc. Class A (a)

9,793

271,462

Comcast Corp. Class A

1,197,262

30,793,579

Courier Corp.

2,999

114,562

Cox Radio, Inc. Class A (a)

6,897

99,731

Crown Media Holdings, Inc. Class A (a)(d)

9,666

40,017

Cumulus Media, Inc. Class A (a)(d)

14,350

141,061

Discovery Holding Co. Class A (a)

106,842

1,715,883

Dow Jones & Co., Inc.

17,186

619,727

DreamWorks Animation SKG, Inc.
Class A (a)

21,470

575,611

E.W. Scripps Co. Class A

31,093

1,410,068

EchoStar Communications Corp.
Class A (a)

83,470

3,388,882

EMAK Worldwide, Inc. (a)

2,676

13,541

Emmis Communications Corp. Class A

9,275

76,241

Entercom Communications Corp. Class A

17,572

502,383

Entravision Communication Corp.
Class A (a)

10,509

94,896

Fisher Communications, Inc. (a)

3,105

141,464

Gannett Co., Inc.

91,235

5,589,056

GateHouse Media, Inc.

4,884

94,457

Gemstar-TV Guide International, Inc. (a)

158,623

642,423

Getty Images, Inc. (a)

22,238

1,166,383

Gray Television, Inc.

8,695

75,733

Harris Interactive, Inc. (a)

6,269

35,545

Harte-Hanks, Inc.

18,646

511,833

Hearst-Argyle Television, Inc.

8,723

227,147

Idearc, Inc.

51,141

1,738,794

Image Entertainment, Inc. (a)

700

2,338

Insignia Systems, Inc. (a)

2,664

8,924

Interactive Data Corp.

21,445

515,752

Interpublic Group of Companies, Inc.

168,170

2,117,260

ION Media Networks, Inc.

8,600

10,922

John Wiley & Sons, Inc. Class A

15,315

589,781

Shares

Value

Journal Communications, Inc. Class A

22,879

$ 304,748

Journal Register Co.

7,046

50,027

Knology, Inc. (a)

33,900

483,075

Lamar Advertising Co. Class A

28,370

1,817,099

Lee Enterprises, Inc.

27,681

881,917

Liberty Global, Inc. Class A (a)

167,586

4,824,801

Liberty Media Holding Corp. - Capital Series A (a)

57,074

6,157,143

LIN TV Corp. Class A (a)

41,885

567,542

Live Nation, Inc. (a)

17,811

412,147

LodgeNet Entertainment Corp. (a)

3,536

90,380

Martha Stewart Living Omnimedia, Inc. Class A

3,918

72,953

McGraw-Hill Companies, Inc.

143,756

9,288,075

Media General, Inc. Class A

10,393

426,529

Mediacom Communications Corp.
Class A (a)

16,061

128,488

Meredith Corp.

13,869

810,920

Morningstar, Inc. (a)

7,506

384,532

National CineMedia, Inc.

15,000

393,300

Navarre Corp. (a)(d)

6,926

26,527

New Frontier Media, Inc.

5,971

54,157

News Corp. Class A

951,679

21,441,328

Omnicom Group, Inc.

68,704

7,118,421

Playboy Enterprises, Inc. Class B (non-vtg.) (a)

4,445

45,961

PRIMEDIA, Inc. (a)

37,992

93,840

ProQuest Co. (a)

5,015

54,814

R.H. Donnelley Corp.

31,133

2,227,566

Radio One, Inc. Class A (a)

27,442

192,643

RCN Corp. (a)

19,644

537,263

Regal Entertainment Group Class A

33,163

708,693

Regent Communication, Inc. (a)

7,397

21,821

Rentrak Corp. (a)

600

8,928

Saga Communications, Inc. Class A (a)

932

9,068

Salem Communications Corp. Class A

2,015

24,120

Scholastic Corp. (a)

9,750

339,203

Sinclair Broadcast Group, Inc. Class A

8,598

122,865

Sirius Satellite Radio, Inc. (a)(d)

602,100

2,197,665

Spanish Broadcasting System, Inc. Class A

8,120

36,621

Sun-Times Media Group, Inc. Class A

20,659

82,429

The DIRECTV Group, Inc. (a)

318,013

7,174,373

The McClatchy Co. Class A

22,841

854,710

The New York Times Co. Class A

50,531

1,249,632

The Reader's Digest Association, Inc. (non-vtg.)

32,714

555,157

The Walt Disney Co.

782,614

26,812,356

theglobe.com, Inc. (a)

6,400

448

Time Warner, Inc.

1,626,668

33,102,694

TiVo, Inc. (a)(d)

56,834

333,616

Tribune Co.

50,137

1,505,614

Triple Crown Media, Inc. (a)

728

6,254

Univision Communications, Inc. Class A (a)

94,468

3,400,848

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Media - continued

Valassis Communications, Inc. (a)

13,446

$ 223,741

Viacom, Inc. Class B (non-vtg.) (a)

248,889

9,716,627

Virgin Media, Inc.

104,761

2,745,786

Warner Music Group Corp.

28,685

571,979

Washington Post Co. Class B

2,562

1,962,492

Westwood One, Inc.

61,958

423,173

World Wrestling Entertainment, Inc.
Class A

7,730

123,062

XM Satellite Radio Holdings, Inc.
Class A (d)

114,731

1,647,537

Young Broadcasting, Inc. Class A (a)

3,209

12,194

229,093,684

Multiline Retail - 1.0%

99 Cents Only Stores (a)

14,698

219,441

Big Lots, Inc. (a)(d)

38,709

968,886

Conn's, Inc. (a)(d)

7,047

178,360

Dillard's, Inc. Class A

23,597

788,140

Dollar General Corp.

127,266

2,148,250

Dollar Tree Stores, Inc. (a)

36,651

1,250,166

Family Dollar Stores, Inc.

60,021

1,738,808

Federated Department Stores, Inc.

216,063

9,649,374

Fred's, Inc. Class A

15,389

210,522

JCPenney Co., Inc.

78,204

6,343,126

Kohl's Corp. (a)

114,161

7,875,967

Nordstrom, Inc.

89,220

4,736,690

Retail Ventures, Inc. (a)

12,266

249,613

Saks, Inc.

49,976

965,536

Sears Holdings Corp. (a)

36,769

6,627,612

Target Corp.

311,954

19,194,530

The Bon-Ton Stores, Inc. (d)

8,752

429,023

Tuesday Morning Corp. (d)

10,850

170,779

63,744,823

Specialty Retail - 2.2%

A.C. Moore Arts & Crafts, Inc. (a)(d)

3,702

72,485

Aaron Rents, Inc.

19,496

533,411

Abercrombie & Fitch Co. Class A

33,159

2,592,039

Advance Auto Parts, Inc.

41,776

1,572,866

Aeropostale, Inc. (a)

23,519

861,736

America's Car Mart, Inc. (a)(d)

3,150

36,131

American Eagle Outfitters, Inc.

72,473

2,250,287

AnnTaylor Stores Corp. (a)

31,235

1,108,530

Asbury Automotive Group, Inc.

3,702

98,880

AutoNation, Inc. (a)

52,500

1,152,900

AutoZone, Inc. (a)

20,052

2,512,315

Barnes & Noble, Inc.

21,341

873,701

bebe Stores, Inc.

8,695

159,814

Bed Bath & Beyond, Inc. (a)

110,367

4,402,540

Best Buy Co., Inc.

157,438

7,316,144

Big 5 Sporting Goods Corp.

8,888

212,334

Blockbuster, Inc. Class A (d)

111,889

742,943

Books-A-Million, Inc.

5,135

81,955

Shares

Value

Borders Group, Inc. (d)

40,322

$ 862,084

Build-A-Bear Workshop, Inc. (a)(d)

4,710

124,815

Cabela's, Inc. Class A (a)(d)

22,572

561,140

Cache, Inc. (a)

3,350

75,342

CarMax, Inc. (a)

41,782

2,201,911

Casual Male Retail Group, Inc. (a)

8,101

101,263

Charlotte Russe Holding, Inc. (a)

4,919

143,586

Charming Shoppes, Inc. (a)

38,067

474,695

Chico's FAS, Inc. (a)(d)

71,893

1,612,560

Christopher & Banks Corp.

21,140

392,570

Circuit City Stores, Inc.

75,396

1,434,786

Claire's Stores, Inc.

32,809

1,054,481

Cost Plus, Inc. (a)(d)

4,090

43,927

CSK Auto Corp. (a)

27,526

475,925

Deb Shops, Inc.

2,378

63,707

Dick's Sporting Goods, Inc. (a)(d)

13,068

683,979

Dress Barn, Inc. (a)

15,692

329,846

DSW, Inc. Class A (a)(d)

18,311

733,356

E Com Ventures, Inc. (a)

325

8,587

Eddie Bauer Holdings, Inc. (a)(d)

33,562

296,017

Emerging Vision, Inc. (a)

3,800

798

Finish Line, Inc. Class A

30,445

386,956

Finlay Enterprises, Inc. (a)

2,985

25,731

Foot Locker, Inc.

65,237

1,482,185

Gamestop Corp. Class A (a)

27,414

1,437,042

Gap, Inc.

241,294

4,630,432

Genesco, Inc.

12,717

508,680

Group 1 Automotive, Inc.

9,792

453,076

Guess?, Inc.

10,132

825,555

Guitar Center, Inc. (a)(d)

8,879

388,989

Gymboree Corp. (a)

15,021

566,141

Hancock Fabrics, Inc. (a)

1,100

3,542

Haverty Furniture Companies, Inc.

4,389

64,123

Hibbett Sports, Inc. (a)

11,507

358,788

Home Depot, Inc.

828,746

32,818,342

Hot Topic, Inc. (a)

8,301

88,489

J. Crew Group, Inc.

15,529

559,665

Jo-Ann Stores, Inc. (a)

3,296

74,259

Jos. A. Bank Clothiers, Inc. (a)(d)

3,370

103,863

Kirkland's, Inc. (a)

2,250

12,240

Limited Brands, Inc.

131,232

3,632,502

Lithia Motors, Inc. Class A (sub. vtg.)

2,182

64,282

Lowe's Companies, Inc.

614,405

20,005,027

Midas, Inc. (a)

1,672

34,661

Monro Muffler Brake, Inc.

1,970

71,649

Mothers Work, Inc. (a)

1,194

41,277

Movie Gallery, Inc. (a)(d)

5,200

25,220

New York & Co., Inc. (a)

22,599

327,008

O'Reilly Automotive, Inc. (a)

52,791

1,817,594

Office Depot, Inc. (a)

105,965

3,534,992

OfficeMax, Inc.

29,630

1,537,797

Pacific Sunwear of California, Inc. (a)

22,610

406,980

Payless ShoeSource, Inc. (a)

24,320

751,488

PETsMART, Inc.

63,367

1,920,654

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Specialty Retail - continued

Pier 1 Imports, Inc.

19,479

$ 132,262

Pomeroy IT Solutions, Inc. (a)

3,416

25,108

RadioShack Corp.

58,551

1,462,018

Rent-A-Center, Inc. (a)

23,294

659,686

Restoration Hardware, Inc. (a)(d)

5,982

39,960

Rex Stores Corp. (a)

3,513

58,491

Ross Stores, Inc.

56,284

1,844,427

Sally Beauty Holdings, Inc. (a)

26,732

241,925

Select Comfort Corp. (d)

29,583

548,173

Sharper Image Corp. (a)

2,369

24,590

Sherwin-Williams Co.

40,875

2,720,231

Shoe Carnival, Inc. (a)

3,092

93,347

Sonic Automotive, Inc. Class A (sub. vtg.)

14,398

423,301

Sport Chalet:

Class A (a)

175

1,785

Class B (a)

25

254

Stage Stores, Inc.

23,109

506,780

Staples, Inc.

301,269

7,839,019

Stein Mart, Inc.

10,292

149,543

Talbots, Inc.

11,749

296,545

The Bombay Company, Inc. (a)

3,834

4,946

The Buckle, Inc.

3,504

120,818

The Cato Corp. Class A (sub. vtg.)

6,531

142,768

The Children's Place Retail Stores, Inc. (a)

8,631

470,044

The Men's Wearhouse, Inc.

14,230

630,104

The Pep Boys - Manny, Moe & Jack

13,830

209,525

Tiffany & Co., Inc.

56,306

2,451,563

TJX Companies, Inc.

174,129

4,788,548

Tractor Supply Co. (a)(d)

17,278

884,115

Trans World Entertainment Corp. (a)

3,463

18,527

TravelCenters of America LLC (a)

2,983

108,283

Tween Brands, Inc. (a)

8,576

307,450

Tweeter Home Entertainment Group, Inc. (a)

4,886

7,134

United Auto Group, Inc.

11,641

255,636

Urban Outfitters, Inc. (a)

48,297

1,198,732

West Marine, Inc. (a)(d)

3,821

64,040

Wet Seal, Inc. Class A (a)

63,290

380,373

Williams-Sonoma, Inc.

33,184

1,120,292

Wilsons Leather Experts, Inc. (a)

3,977

7,397

Zale Corp. (a)

25,205

649,281

Zumiez, Inc. (a)

15,094

513,347

148,615,983

Textiles, Apparel & Luxury Goods - 0.5%

Ashworth, Inc. (a)

400

3,208

Brown Shoe Co., Inc.

12,718

652,433

Carter's, Inc. (a)

18,779

451,259

Cherokee, Inc.

2,207

96,667

Coach, Inc. (a)

151,963

7,172,654

Columbia Sportswear Co.

3,053

194,079

Crocs, Inc. (d)

15,850

772,212

Shares

Value

Deckers Outdoor Corp. (a)

6,699

$ 436,775

Everlast Worldwide, Inc. (a)

1,194

22,567

Fossil, Inc. (a)

14,657

394,566

Hanesbrands, Inc. (a)

32,606

932,858

Iconix Brand Group, Inc. (a)

23,379

512,701

Jones Apparel Group, Inc.

41,640

1,370,789

K-Swiss, Inc. Class A

15,228

429,277

Kellwood Co.

9,900

312,147

Kenneth Cole Productions, Inc. Class A (sub. vtg.)

4,067

103,912

Liz Claiborne, Inc.

35,761

1,609,245

Maidenform Brands, Inc. (a)

15,782

288,968

Movado Group, Inc.

10,191

300,736

NIKE, Inc. Class B

64,489

6,737,166

Oxford Industries, Inc.

10,105

499,086

Perry Ellis International, Inc. (a)

2,923

89,298

Phillips-Van Heusen Corp.

19,739

1,082,487

Polo Ralph Lauren Corp. Class A

22,800

1,983,144

Polymer Group, Inc.:

Class A warrants 3/4/10 (a)

6

0

Class B warrants 3/4/10 (a)

6

0

Quaker Fabric Corp. (a)

3,800

4,484

Quiksilver, Inc. (a)

56,019

780,905

Samsonite Corp.

1,446

1,446

Skechers U.S.A., Inc. Class A (sub. vtg.) (a)

13,559

473,480

Steven Madden Ltd.

4,894

144,667

Stride Rite Corp.

8,596

138,825

Superior Uniform Group, Inc.

1,000

12,840

Tarrant Apparel Group (a)

2,700

5,265

Timberland Co. Class A (a)

25,130

681,526

Under Armour, Inc. Class A
(sub. vtg.) (a)(d)

13,990

642,841

Unifi, Inc. (a)

7,247

19,639

Unifirst Corp.

6,314

263,420

VF Corp.

33,392

2,665,016

Volcom, Inc. (a)

13,377

487,993

Warnaco Group, Inc. (a)

15,983

417,476

Wolverine World Wide, Inc.

20,227

561,299

33,749,356

TOTAL CONSUMER DISCRETIONARY

749,672,161

CONSUMER STAPLES - 7.9%

Beverages - 1.7%

Anheuser-Busch Companies, Inc.

297,851

14,618,527

Boston Beer Co., Inc. Class A (a)

10,271

336,786

Brown-Forman Corp. Class B (non-vtg.)

24,110

1,579,205

Coca-Cola Bottling Co. Consolidated

1,100

64,383

Coca-Cola Enterprises, Inc.

108,695

2,183,683

Constellation Brands, Inc. Class A
(sub. vtg.)

83,048

1,948,306

Hansen Natural Corp. (a)

23,766

831,810

Molson Coors Brewing Co. Class B

26,110

2,204,728

Common Stocks - continued

Shares

Value

CONSUMER STAPLES - continued

Beverages - continued

National Beverage Corp. (d)

7,459

$ 97,265

Pepsi Bottling Group, Inc.

51,819

1,606,389

PepsiAmericas, Inc.

21,668

461,745

PepsiCo, Inc.

673,884

42,555,775

The Coca-Cola Co.

874,389

40,816,479

109,305,081

Food & Staples Retailing - 1.9%

Andersons, Inc. (d)

16,319

686,704

Arden Group, Inc. Class A

100

12,276

BJ's Wholesale Club, Inc. (a)

23,262

750,897

Casey's General Stores, Inc.

17,554

439,026

Central European Distribution Corp. (a)

8,298

225,540

Costco Wholesale Corp.

187,839

10,498,322

CVS Corp.

329,912

10,362,536

Ingles Markets, Inc. Class A

17,056

651,198

Kroger Co.

275,685

7,076,834

Longs Drug Stores Corp.

13,376

616,099

Nash-Finch Co.

2,706

81,342

Pathmark Stores, Inc. (a)

8,137

93,006

Performance Food Group Co. (a)

12,773

376,420

Pricesmart, Inc.

400

5,816

Rite Aid Corp. (d)

207,001

1,235,796

Ruddick Corp.

23,792

674,027

Safeway, Inc.

173,633

6,002,493

Smart & Final, Inc. (a)

2,557

54,848

Spartan Stores, Inc.

19,591

462,152

SUPERVALU, Inc.

75,300

2,783,088

Sysco Corp.

245,191

8,081,495

The Great Atlantic & Pacific Tea Co. (d)

5,473

174,041

The Pantry, Inc. (a)

9,194

433,497

Topps Co., Inc.

11,607

106,320

United Natural Foods, Inc. (a)

18,561

552,747

Wal-Mart Stores, Inc.

1,044,046

50,427,422

Walgreen Co.

408,648

18,270,652

Weis Markets, Inc.

5,971

259,739

Whole Foods Market, Inc.

56,450

2,696,617

Wild Oats Markets, Inc. (a)(d)

14,419

265,165

Winn-Dixie Stores, Inc. (a)

22,750

441,123

124,797,238

Food Products - 1.1%

Alico, Inc.

200

9,512

Archer-Daniels-Midland Co.

239,997

8,251,097

Bridgford Foods Corp. (a)

400

3,064

Bunge Ltd.

49,242

3,907,845

Campbell Soup Co.

100,363

4,097,821

Chiquita Brands International, Inc.

26,914

390,253

ConAgra Foods, Inc.

220,596

5,565,637

Corn Products International, Inc.

27,466

878,088

Darling International, Inc. (a)

19,484

107,162

Dean Foods Co. (a)

50,426

2,271,187

Shares

Value

Del Monte Foods Co.

73,948

$ 850,402

Delta & Pine Land Co.

15,692

642,430

Diamond Foods, Inc.

8,240

137,608

Farmer Brothers Co.

3,606

76,700

Flowers Foods, Inc.

17,414

511,797

Fresh Del Monte Produce, Inc.

7,652

135,976

General Mills, Inc.

141,468

7,973,136

Green Mountain Coffee Roasters, Inc. (a)(d)

2,269

127,268

H.J. Heinz Co.

123,798

5,678,614

Hain Celestial Group, Inc. (a)

26,171

759,221

Hershey Co.

62,868

3,324,460

Hines Horticulture, Inc. (a)

800

1,272

Hormel Foods Corp.

25,711

938,452

J&J Snack Foods Corp.

8,901

353,281

John B. Sanfilippo & Son, Inc. (a)

2,965

41,955

Kellogg Co.

94,457

4,715,293

Kraft Foods, Inc. Class A (d)

89,479

2,856,170

Lancaster Colony Corp.

10,046

425,448

Lance, Inc.

6,285

125,449

Maui Land & Pineapple, Inc. (a)

300

9,225

McCormick & Co., Inc. (non-vtg.)

44,419

1,700,804

Omega Protein Corp. (a)

7,368

49,071

Peet's Coffee & Tea, Inc. (a)

19,913

504,795

Pilgrims Pride Corp. Class B

11,063

338,970

Premium Standard Farms, Inc.

20,702

430,395

Ralcorp Holdings, Inc. (a)

10,622

616,288

Reddy Ice Holdings, Inc.

28,255

762,320

Sanderson Farms, Inc. (d)

4,078

131,923

Sara Lee Corp.

297,169

4,891,402

Seaboard Corp.

119

255,850

Seneca Foods Group Class A (a)

2,582

68,191

Smithfield Foods, Inc. (a)

48,609

1,419,869

Tasty Baking Co.

200

1,830

The J.M. Smucker Co.

24,247

1,202,651

Tootsie Roll Industries, Inc.

20,370

615,581

TreeHouse Foods, Inc. (a)

7,645

220,558

Tyson Foods, Inc. Class A

90,683

1,654,965

Wm. Wrigley Jr. Co.

89,700

4,467,060

Zapata Corp. (a)

880

6,081

74,504,427

Household Products - 1.8%

Central Garden & Pet Co. (a)

15,117

210,882

Church & Dwight Co., Inc.

25,388

1,217,355

Clorox Co.

55,296

3,503,555

Colgate-Palmolive Co.

213,115

14,355,426

Energizer Holdings, Inc. (a)

19,893

1,709,207

Kimberly-Clark Corp.

183,544

12,501,182

Oil-Dri Corp. of America

750

13,283

Procter & Gamble Co.

1,284,242

81,536,525

Spectrum Brands, Inc. (a)(d)

7,046

62,216

WD-40 Co.

17,261

550,626

115,660,257

Common Stocks - continued

Shares

Value

CONSUMER STAPLES - continued

Personal Products - 0.2%

Alberto-Culver Co.

26,732

$ 592,114

Avon Products, Inc.

182,807

6,701,705

Bare Escentuals, Inc.

3,747

130,358

Chattem, Inc. (a)

3,821

203,927

Elizabeth Arden, Inc. (a)

5,436

118,396

Estee Lauder Companies, Inc. Class A

51,758

2,478,173

Herbalife Ltd. (a)

12,914

486,212

Inter Parfums, Inc.

5,138

99,215

Mannatech, Inc. (d)

6,969

103,420

NBTY, Inc. (a)

24,812

1,207,848

Nu Skin Enterprises, Inc. Class A

17,056

289,440

Playtex Products, Inc. (a)

45,581

624,916

Prestige Brands Holdings, Inc. (a)

29,135

333,887

Revlon, Inc. Class A (sub. vtg.)

120,573

151,922

USANA Health Sciences, Inc. (a)

2,496

144,943

13,666,476

Tobacco - 1.2%

Alliance One International, Inc. (a)

60,372

507,729

Altria Group, Inc.

836,723

70,519,014

Loews Corp. - Carolina Group

40,579

2,922,905

Reynolds American, Inc.

64,348

3,928,445

Star Scientific, Inc. (a)(d)

17,410

16,714

Universal Corp.

12,506

658,691

UST, Inc.

64,101

3,721,704

Vector Group Ltd. (d)

10,468

190,936

82,466,138

TOTAL CONSUMER STAPLES

520,399,617

ENERGY - 9.1%

Energy Equipment & Services - 1.9%

Atwood Oceanics, Inc. (a)

7,643

386,736

Baker Hughes, Inc.

130,667

8,507,728

Basic Energy Services, Inc. (a)

6,865

156,316

BJ Services Co.

116,728

3,127,143

Bristow Group, Inc. (a)

5,015

183,800

Cal Dive International, Inc.

3,439

41,853

Cameron International Corp. (a)

40,915

2,319,471

Carbo Ceramics, Inc.

11,939

514,810

Complete Production Services, Inc.

9,553

183,513

Dawson Geophysical Co. (a)

3,936

165,745

Diamond Offshore Drilling, Inc.

22,862

1,779,121

Dresser-Rand Group, Inc. (a)

21,967

570,483

Dril-Quip, Inc. (a)

7,709

297,413

ENSCO International, Inc.

58,494

2,931,134

FMC Technologies, Inc. (a)

27,082

1,781,454

Global Industries Ltd. (a)

39,042

576,260

GlobalSantaFe Corp.

91,516

5,274,067

Grant Prideco, Inc. (a)

48,886

2,122,141

Grey Wolf, Inc. (a)

77,719

519,940

Gulf Island Fabrication, Inc.

12,498

428,181

Shares

Value

Gulfmark Offshore, Inc. (a)

4,538

$ 179,523

Halliburton Co.

409,798

12,654,562

Hanover Compressor Co. (a)

50,018

1,097,895

Helmerich & Payne, Inc.

42,823

1,164,786

Hercules Offshore, Inc. (a)

14,339

381,848

Horizon Offshore, Inc. (a)

8,185

135,707

Hornbeck Offshore Services, Inc. (a)

5,719

153,098

Hydril Co. (a)

9,838

936,086

Input/Output, Inc. (a)(d)

15,171

205,870

Lone Star Technologies, Inc. (a)

15,306

727,494

Lufkin Industries, Inc.

8,237

443,480

Matrix Service Co. (a)

7,713

138,294

Metretek Technologies, Inc. (a)(d)

3,463

42,110

Mitcham Industries, Inc. (a)

1,791

24,501

Nabors Industries Ltd. (a)

120,887

3,621,775

NATCO Group, Inc. Class A (a)

17,884

619,681

National Oilwell Varco, Inc. (a)

67,410

4,694,432

Natural Gas Services Group, Inc. (a)

22,504

297,053

Newpark Resources, Inc. (a)

28,559

174,210

Noble Corp.

51,874

3,642,592

Oceaneering International, Inc. (a)

22,321

880,340

Oil States International, Inc. (a)

28,576

838,706

Parker Drilling Co. (a)

58,520

501,516

Patterson-UTI Energy, Inc.

69,949

1,559,163

PHI, Inc. (non-vtg.) (a)

17,859

499,695

Pioneer Drilling Co. (a)

14,330

172,820

Pride International, Inc. (a)

62,674

1,805,011

Rowan Companies, Inc.

41,671

1,276,383

RPC, Inc.

19,909

297,640

Schlumberger Ltd. (NY Shares)

471,895

29,635,006

SEACOR Holdings, Inc. (a)

8,153

789,210

Smith International, Inc.

84,421

3,461,261

Superior Energy Services, Inc. (a)

29,932

917,416

T-3 Energy Services, Inc. (a)

10

212

TETRA Technologies, Inc.

38,187

848,897

Tidewater, Inc.

19,041

989,561

TODCO Class A (a)

19,032

648,611

Transocean, Inc. (a)

115,396

8,848,565

Trico Marine Services, Inc. (a)

3,463

126,192

Union Drilling, Inc. (a)

1,488

18,079

Unit Corp. (a)

13,877

679,279

Universal Compression Holdings, Inc. (a)

9,553

639,573

W-H Energy Services, Inc. (a)

11,825

496,650

Weatherford International Ltd. (a)

141,793

5,692,989

124,825,081

Oil, Gas & Consumable Fuels - 7.2%

Alliance Resource Partners LP

12,763

442,876

Alon USA Energy, Inc.

5,971

168,084

Alpha Natural Resources, Inc. (a)

14,665

211,616

Anadarko Petroleum Corp.

183,241

7,371,785

Apache Corp.

126,564

8,673,431

Arch Coal, Inc.

61,040

1,900,786

Arena Resources, Inc. (a)

6,105

275,702

Common Stocks - continued

Shares

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Arlington Tankers Ltd.

16,838

$ 392,831

Atlas America, Inc. (a)

13,162

702,982

Atlas Pipeline Partners, LP

5,971

286,907

ATP Oil & Gas Corp. (a)(d)

6,016

247,859

Aventine Renewable Energy Holdings, Inc. (d)

13,661

218,303

Berry Petroleum Co. Class A

18,408

557,394

Bill Barrett Corp. (a)(d)

17,460

513,673

Boardwalk Pipeline Partners, LP

9,553

350,595

Bois d'Arc Energy LLC (a)

32,235

438,718

BP Prudhoe Bay Royalty Trust (d)

5,544

341,455

Brigham Exploration Co. (a)

22,535

133,407

Buckeye Partners LP

11,934

586,556

Cabot Oil & Gas Corp.

17,834

1,204,865

Callon Petroleum Co. (a)

3,618

48,192

Calumet Specialty Products Partners LP

7,489

307,723

Carrizo Oil & Gas, Inc. (a)

19,490

599,902

Cheniere Energy, Inc. (a)(d)

23,057

645,596

Chesapeake Energy Corp.

159,382

4,859,557

Chevron Corp.

886,618

60,830,861

Cimarex Energy Co.

26,213

915,096

Clayton Williams Energy, Inc. (a)

2,603

79,990

CNX Gas Corp. (a)(d)

20,396

493,379

Comstock Resources, Inc. (a)

16,311

437,950

ConocoPhillips

619,389

40,520,428

CONSOL Energy, Inc.

68,301

2,436,297

Copano Energy LLC

8,390

554,411

Cross Timbers Royalty Trust

3,187

141,503

Crosstex Energy LP

5,971

224,390

Crosstex Energy, Inc. (d)

16,779

544,479

Delek US Holdings, Inc.

37,077

613,995

Delta Petroleum Corp. (a)

17,251

345,020

Denbury Resources, Inc. (a)

43,668

1,259,385

Devon Energy Corp.

163,186

10,722,952

Dorchester Minerals LP

5,580

120,472

Edge Petroleum Corp. (a)(d)

12,945

162,719

El Paso Corp.

301,536

4,336,088

Enbridge Energy Management LLC

2,559

130,663

Enbridge Energy Partners LP

22,796

1,203,857

Encore Acquisition Co. (a)

23,459

569,350

Energy Partners Ltd. (a)

21,437

465,183

Energy Transfer Partners LP

24,127

1,330,845

Enterprise Products Partners LP

108,732

3,317,413

EOG Resources, Inc.

96,552

6,540,432

Evergreen Energy, Inc. (a)(d)

25,886

203,205

EXCO Resources, Inc.

46,496

809,960

Exxon Mobil Corp.

2,349,706

168,426,874

Forest Oil Corp. (a)(d)

17,739

565,874

Foundation Coal Holdings, Inc.

14,184

466,937

Frontier Oil Corp.

50,346

1,487,724

FX Energy, Inc. (a)(d)

15,412

112,662

Shares

Value

Gasco Energy, Inc. (a)(d)

11,942

$ 24,839

General Maritime Corp.

12,896

552,723

Giant Industries, Inc. (a)

11,850

895,149

GMX Resources, Inc. (a)

8,349

270,925

Goodrich Petroleum Corp.

16,672

570,349

GSV, Inc. (a)

980

186

Harken Energy Corp. (a)

1,536

660

Harvest Natural Resources, Inc. (a)

18,697

176,687

Helix Energy Solutions Group, Inc. (a)

36,359

1,220,572

Hess Corp.

96,594

5,124,312

Holly Corp.

23,945

1,328,229

Houston Exploration Co. (a)

13,613

713,593

Hugoton Royalty Trust

13,923

339,025

Inergy LP

11,710

363,361

International Coal Group, Inc. (a)(d)

33,436

170,858

James River Coal Co. (a)(d)

7,854

58,277

Kinder Morgan Energy Partners LP

69,177

3,505,199

Kinder Morgan Management LLC

29,999

1,500,250

Kinder Morgan, Inc.

42,669

4,512,673

Linn Energy LLC (d)

10,126

334,361

Magellan Midstream Holdings LP

7,165

174,826

Magellan Midstream Partners LP

23,087

971,963

Marathon Oil Corp.

141,400

12,830,636

Mariner Energy, Inc. (a)

35,558

657,823

Markwest Energy Partners LP

5,971

387,518

Massey Energy Co.

39,879

967,465

McMoRan Exploration Co.

3,930

50,265

Meridian Resource Corp. (a)

10,597

27,340

Murphy Oil Corp.

66,789

3,461,006

National Energy Group, Inc.

71

320

Natural Resource Partners LP

5,971

376,412

Newfield Exploration Co. (a)

46,301

2,001,129

Noble Energy, Inc.

66,287

3,816,143

Occidental Petroleum Corp.

342,503

15,816,789

OMI Corp.

21,539

479,674

ONEOK Partners LP

15,397

996,802

Overseas Shipholding Group, Inc.

12,480

756,038

Pacific Ethanol, Inc. (a)(d)

13,826

229,235

Parallel Petroleum Corp. (a)

33,729

645,910

Peabody Energy Corp.

102,939

4,158,736

Penn Virginia Corp.

11,845

825,360

Penn Virginia Resource Partners LP

7,674

207,658

Petrohawk Energy Corp. (a)

92,728

1,109,954

Petroleum Development Corp. (a)

3,640

190,627

Petroquest Energy, Inc. (a)

31,286

360,102

Pioneer Natural Resources Co.

42,731

1,643,007

Plains Exploration & Production Co. (a)

26,822

1,223,888

Pogo Producing Co.

15,586

744,855

Quicksilver Resources, Inc. (a)

16,944

653,530

Range Resources Corp.

47,996

1,532,512

Rentech, Inc. (a)(d)

48,574

166,123

Rosetta Resources, Inc. (a)

18,803

345,411

Ship Finance International Ltd.
(NY Shares)

34,139

887,614

Common Stocks - continued

Shares

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Southwestern Energy Co. (a)

68,264

$ 2,662,296

Spectra Energy Corp.

247,991

6,380,808

St. Mary Land & Exploration Co.

21,873

787,647

Stone Energy Corp. (a)

19,454

597,238

Sunoco Logistics Partners LP

2,798

156,968

Sunoco, Inc.

45,792

2,954,500

Swift Energy Co. (a)

11,472

445,572

Syntroleum Corp. (a)(d)

28,735

90,803

TC Pipelines LP

3,861

139,845

Teekay LNG Partners LP

13,391

492,923

Teekay Shipping Corp.

16,983

842,187

TEPPCO Partners LP

25,506

1,090,126

Tesoro Corp.

27,960

2,548,274

The Exploration Co. of Delaware, Inc. (a)

40,650

463,410

Toreador Resources Corp. (a)(d)

11,881

285,263

Transmeridian Exploration, Inc. (a)(d)

45,772

183,546

Ultra Petroleum Corp. (a)

57,904

2,942,102

USEC, Inc. (a)

51,272

727,037

Vaalco Energy, Inc. (a)

31,178

200,475

Valero Energy Corp.

245,841

14,172,734

Valero GP Holdings LLC (d)

13,003

342,499

Valero LP

13,379

842,877

Venoco, Inc.

3,243

49,294

VeraSun Energy Corp. (d)

29,521

511,599

W&T Offshore, Inc.

8,259

247,935

Warren Resources, Inc. (a)

39,635

444,308

Western Refining, Inc.

33,616

971,839

Westmoreland Coal Co.

6,000

133,980

Whiting Petroleum Corp.

15,117

585,179

Williams Companies, Inc.

247,210

6,667,254

Williams Partners LP

7,371

318,427

World Fuel Services Corp.

16,778

756,688

XTO Energy, Inc.

140,557

7,261,175

479,506,896

TOTAL ENERGY

604,331,977

FINANCIALS - 21.6%

Capital Markets - 3.1%

A.G. Edwards, Inc.

27,038

1,736,110

Affiliated Managers Group, Inc. (a)(d)

12,336

1,400,136

AllianceBernstein Holding LP

9,889

848,476

Ameriprise Financial, Inc.

85,418

4,993,536

Bank of New York Co., Inc.

298,453

12,123,161

Bear Stearns Companies, Inc.

46,500

7,079,160

BlackRock, Inc. Class A

4,820

766,573

Calamos Asset Management, Inc. Class A

10,806

281,172

Charles Schwab Corp.

408,058

7,540,912

Cohen & Steers, Inc.

20,212

845,468

E*TRADE Financial Corp.

166,158

3,836,588

Shares

Value

Eaton Vance Corp. (non-vtg.)

49,746

$ 1,725,689

Federated Investors, Inc. Class B (non-vtg.)

39,078

1,397,820

Franklin Resources, Inc.

69,738

8,186,544

GAMCO Investors, Inc. Class A

7,076

276,035

GFI Group, Inc. (a)

7,498

461,952

Goldman Sachs Group, Inc.

145,224

29,277,158

Greenhill & Co., Inc.

5,719

385,346

HFF, Inc.

4,989

93,294

Investment Technology Group, Inc. (a)

19,782

809,677

Investors Financial Services Corp.

28,356

1,659,960

Janus Capital Group, Inc.

83,953

1,784,001

Jefferies Group, Inc.

35,863

970,094

Knight Capital Group, Inc. Class A (a)

37,903

599,246

LaBranche & Co., Inc. (a)(d)

10,716

92,908

Ladenburg Thalmann Financial Services, Inc. (a)(d)

1,908

5,438

Lazard Ltd. Class A

17,506

901,384

Legg Mason, Inc.

52,739

5,418,405

Lehman Brothers Holdings, Inc.

210,849

15,455,232

MarketAxess Holdings, Inc. (a)

26,498

371,502

Mellon Financial Corp.

160,395

6,965,955

Merrill Lynch & Co., Inc.

352,754

29,518,455

Morgan Stanley

386,005

28,919,495

National Holdings Corp. (a)

1,200

2,160

Northern Trust Corp.

75,120

4,529,736

Nuveen Investments, Inc. Class A

32,108

1,563,339

optionsXpress Holdings, Inc.

21,028

488,060

Paulson Capital Corp.

3,105

15,836

Penson Worldwide, Inc.

12,876

349,197

Piper Jaffray Companies (a)

12,762

830,934

Raymond James Financial, Inc.

31,238

940,264

Sanders Morris Harris Group, Inc.

28,032

296,579

SEI Investments Co.

32,129

1,942,198

Siebert Financial Corp.

2,700

10,503

State Street Corp.

135,115

8,851,384

Stifel Financial Corp. (a)(d)

1,592

75,859

SWS Group, Inc.

20,138

530,838

T. Rowe Price Group, Inc.

102,685

4,781,014

TD Ameritrade Holding Corp.

105,126

1,682,016

Thomas Weisel Partners Group, Inc.

30,673

558,862

TradeStation Group, Inc. (a)

4,466

52,788

W.P. Carey & Co. LLC

7,742

249,757

W.P. Stewart & Co. Ltd. (d)

20,900

231,363

Waddell & Reed Financial, Inc. Class A

37,695

919,004

Westwood Holdings Group, Inc.

601

14,388

205,642,961

Commercial Banks - 4.1%

1st Source Corp.

5,265

138,522

Abigail Adams National Bancorp, Inc.

302

4,334

Alabama National Bancorp, Delaware

12,178

883,392

Amcore Financial, Inc.

14,538

475,538

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Commercial Banks - continued

AmericanWest Bancorp

9,499

$ 203,659

Ameris Bancorp

7,595

186,002

Arrow Financial Corp.

1,807

40,477

Associated Banc-Corp.

37,455

1,295,194

BancFirst Corp.

1,958

92,046

BancorpSouth, Inc.

32,515

809,624

BancTrust Financial Group, Inc.

4,882

108,332

Bank of Granite Corp.

15,998

287,484

Bank of Hawaii Corp.

21,167

1,094,757

Bank of the Ozarks, Inc.

2,192

65,870

BankFinancial Corp.

8,709

152,059

Banner Corp.

9,743

406,381

Bar Harbor Bankshares

3,125

99,750

BB&T Corp.

208,668

8,864,217

BOK Financial Corp.

12,475

625,372

Boston Private Financial Holdings, Inc.

21,815

629,363

Bryn Mawr Bank Corp.

2,149

49,921

Capital City Bank Group, Inc.

3,535

118,316

Capital Corp. of the West

2,237

63,889

Capitol Bancorp Ltd.

7,732

311,213

Cascade Bancorp (d)

17,960

467,319

Cathay General Bancorp

23,711

804,514

Centennial Bank Holdings, Inc., Delaware (a)

13,327

113,413

Center Bancorp, Inc. (d)

4,833

76,120

Central Pacific Financial Corp.

17,253

650,266

Chemical Financial Corp.

10,223

296,467

Chittenden Corp.

29,239

894,421

Citizens & Northern Corp.

10,109

219,972

Citizens Banking Corp., Michigan

58,814

1,335,078

City Holding Co.

9,165

360,551

City National Corp.

14,441

1,042,351

CoBiz, Inc.

13,382

274,063

Colonial Bancgroup, Inc.

48,477

1,252,161

Columbia Banking Systems, Inc.

9,393

316,732

Comerica, Inc.

54,055

3,264,381

Commerce Bancorp, Inc., New Jersey (d)

79,055

2,642,018

Commerce Bancshares, Inc.

28,396

1,404,182

Commercial Bankshares, Inc.

3,064

154,518

Commercial National Financial Corp., Pennsylvania

2,205

44,100

Community Bank of Nevada (a)

9,777

303,771

Community Bank System, Inc.

9,618

205,729

Community Banks, Inc.

14,876

373,388

Community Capital Corp.

420

8,576

Community Trust Bancorp, Inc.

9,412

336,008

Compass Bancshares, Inc.

44,562

3,075,224

Cullen/Frost Bankers, Inc.

20,024

1,082,898

CVB Financial Corp.

18,813

230,836

East West Bancorp, Inc.

26,351

982,102

Eastern Virgina Bankshares, Inc.

955

22,443

Shares

Value

Enterprise Financial Services Corp. (d)

4,000

$ 115,280

Exchange National Bancshares, Inc.

1,433

49,295

Farmers Capital Bank Corp.

1,363

41,912

Fidelity Southern Corp.

3,463

65,485

Fifth Third Bancorp

186,617

7,516,933

Financial Institutions, Inc.

2,005

42,927

First Bancorp, North Carolina (d)

10,694

237,514

First Bancorp, Puerto Rico

55,810

666,371

First Charter Corp.

23,118

557,375

First Citizen Bancshares, Inc.

1,945

407,516

First Commonwealth Financial Corp. (d)

24,801

305,300

First Community Bancorp, California

9,021

489,660

First Community Bancshares, Inc.

5,000

189,550

First Financial Bancorp, Ohio

21,451

336,995

First Financial Bankshares, Inc.

5,300

222,229

First Financial Corp., Indiana

1,925

59,733

First Horizon National Corp.

47,188

2,036,162

First Indiana Corp.

2,940

64,709

First M&F Corp.

2,524

46,063

First Merchants Corp.

12,116

298,417

First Midwest Bancorp, Inc., Delaware

14,866

559,259

First Republic Bank, California

15,030

805,608

First State Bancorp.

9,534

212,799

First United Corp.

3,511

78,611

FirstMerit Corp.

21,397

458,966

FNB Corp., North Carolina

2,866

49,410

FNB Corp., Pennsylvania

17,300

296,868

FNB Corp., Virginia

6,256

226,154

FNB Financial Services Corp.

5,273

84,368

Frontier Financial Corp., Washington (d)

26,384

690,205

Fulton Financial Corp.

62,156

955,338

Glacier Bancorp, Inc.

27,842

680,737

Great Lakes Bancorp, Inc. (a)

461

6,113

Great Southern Bancorp, Inc.

7,927

231,231

Greater Bay Bancorp

17,731

475,191

Greater Community Bancorp

3,556

64,044

Hancock Holding Co.

11,583

516,254

Hanmi Financial Corp.

31,850

622,031

Harleysville National Corp., Pennsylvania

11,970

215,580

Heartland Financial USA, Inc.

8,001

207,306

Heritage Commerce Corp.

7,114

179,700

Heritage Financial Corp., Washington

1,630

40,783

HF Financial Corp.

3,182

58,485

Horizon Financial Corp.

11,055

242,436

Huntington Bancshares, Inc.

80,485

1,863,228

IBERIABANK Corp.

2,985

161,280

Independent Bank Corp., Massachusetts

6,511

202,557

Independent Bank Corp., Michigan

6,306

140,750

Integra Bank Corp.

11,329

272,462

International Bancshares Corp.

29,569

862,823

Intervest Bancshares Corp. Class A (a)

7,165

201,265

Irwin Financial Corp.

6,090

125,819

KeyCorp

157,450

5,942,163

Leesport Financial Corp.

1,519

34,983

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Commercial Banks - continued

LSB Bancshares, Inc.

2,747

$ 42,496

M&T Bank Corp.

29,927

3,588,846

Macatawa Bank Corp.

8,652

162,312

MainSource Financial Group, Inc.

8,776

147,437

Marshall & Ilsley Corp.

95,758

4,551,378

MB Financial, Inc.

11,221

412,821

Mercantile Bankshares Corp.

49,514

2,331,119

Merchants Bancshares, Inc.

4,149

96,589

Mid-State Bancshares

4,433

163,312

Midsouth Bancorp, Inc.

3,819

106,245

Midwest Banc Holdings, Inc.

4,350

84,695

Nara Bancorp, Inc.

20,658

382,380

National City Corp.

237,568

8,991,949

National Penn Bancshares, Inc.

19,532

364,272

NBT Bancorp, Inc.

12,155

272,637

North Valley Bancorp

4,941

124,019

Northern States Financial Corp.

1,314

28,343

Northrim Bancorp, Inc.

3,252

94,893

Northway Financial, Inc.

478

14,990

Old National Bancorp, Indiana

18,488

337,221

Old Second Bancorp, Inc.

4,309

122,850

Omega Financial Corp. (d)

3,519

102,368

Oriental Financial Group, Inc.

20,277

259,748

Pacific Capital Bancorp

28,849

908,744

Park National Corp.

3,704

345,472

Peoples Bancorp, Inc.

1,660

46,065

Peoples Financial Corp., Mississippi

3,102

79,877

Pinnacle Financial Partners, Inc. (a)

3,325

103,042

Placer Sierra Bancshares

25,751

697,337

PNC Financial Services Group, Inc.

119,956

8,793,974

Popular, Inc.

86,182

1,509,047

Preferred Bank, Los Angeles California

6,582

271,376

Princeton National Bancorp, Inc.

2,956

96,011

PrivateBancorp, Inc.

13,207

483,640

Prosperity Bancshares, Inc.

16,201

563,309

Provident Bankshares Corp.

23,525

807,143

R&G Financial Corp. Class B

20,090

109,491

Regions Financial Corp.

284,096

10,176,319

Renasant Corp.

9,028

219,380

Republic Bancorp, Inc., Kentucky Class A

4,441

97,125

Royal Bancshares of Pennsylvania, Inc. Class A

3,140

76,365

S&T Bancorp, Inc.

10,636

347,478

S.Y. Bancorp, Inc.

7,621

196,774

Sandy Spring Bancorp, Inc.

9,869

326,763

Seacoast Banking Corp., Florida

5,254

124,677

Security Bank Corp., Georgia

10,509

215,750

Shore Bancshares, Inc. (d)

3,440

89,990

Signature Bank, New York (a)

16,774

515,297

Simmons First National Corp. Class A

1,974

54,877

Sky Financial Group, Inc.

50,670

1,424,334

Shares

Value

South Financial Group, Inc.

36,095

$ 966,624

Southside Bancshares, Inc. (d)

3,000

70,590

Southwest Bancorp, Inc., Oklahoma

11,359

289,200

State Bancorp, Inc., New York

4,423

95,758

Sterling Bancorp, New York

3,289

61,406

Sterling Bancshares, Inc.

46,876

541,887

Sterling Financial Corp., Pennsylvania

11,903

257,819

Sterling Financial Corp., Washington

18,223

599,354

Suffolk Bancorp

1,724

57,340

Sun Bancorp, Inc., New Jersey

3,444

64,988

SunTrust Banks, Inc.

137,197

11,567,079

Superior Bancorp (a)(d)

14,284

157,124

Susquehanna Bancshares, Inc., Pennsylvania

37,138

900,968

SVB Financial Group (a)

14,316

691,463

Synovus Financial Corp.

98,119

3,176,112

Taylor Capital Group, Inc.

7,332

268,131

TCF Financial Corp.

39,957

1,056,463

TD Banknorth, Inc.

33,380

1,071,832

Texas Capital Bancshares, Inc. (a)

13,293

267,588

TIB Financial Corp.

2,149

35,287

Tompkins Trustco, Inc.

1,441

59,297

Trico Bancshares

10,031

244,556

Trustmark Corp.

29,635

847,561

U.S. Bancorp, Delaware

711,089

25,357,434

UCBH Holdings, Inc.

44,700

851,982

UMB Financial Corp.

13,102

494,338

Umpqua Holdings Corp.

15,271

412,470

Union Bankshares Corp.

2,261

59,849

UnionBanCal Corp.

21,627

1,322,924

United Bankshares, Inc., West Virginia

11,587

412,150

United Community Banks, Inc., Georgia

23,300

761,211

USB Holding Co., Inc.

3,514

79,768

Valley National Bancorp

42,488

1,069,848

Vineyard National Bancorp

13,744

336,041

Virginia Commerce Bancorp, Inc. (d)

23,312

490,951

W Holding Co., Inc.

33,508

178,933

Wachovia Corp.

771,124

42,697,136

Washington Banking Co., Oak Harbor

6,532

103,728

Washington Trust Bancorp, Inc.

6,654

185,181

Wells Fargo & Co.

1,273,858

44,202,873

WesBanco, Inc.

16,326

504,800

West Coast Bancorp, Oregon

10,191

309,297

Westamerica Bancorp.

9,737

478,087

Western Alliance Bancorp. (a)

15,894

533,085

Whitney Holding Corp.

30,091

954,487

Wilmington Trust Corp., Delaware

24,615

1,049,337

Wilshire Bancorp, Inc.

14,330

244,183

Wintrust Financial Corp.

14,993

687,279

Yardville National Bancorp

2,350

86,269

Zions Bancorp

44,378

3,788,994

273,217,186

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Consumer Finance - 0.8%

Advance America Cash Advance Centers, Inc.

28,794

$ 392,462

Advanta Corp. Class B

12,840

536,327

American Express Co.

431,605

24,545,376

AmeriCredit Corp. (a)(d)

51,836

1,265,835

Capital One Financial Corp.

164,740

12,698,159

Cash America International, Inc.

13,211

536,499

CompuCredit Corp. (a)(d)

12,844

398,806

Consumer Portfolio Services, Inc. (a)

2,866

19,632

Dollar Financial Corp. (a)

10,747

275,338

EZCORP, Inc. Class A (a)

30,891

458,731

First Cash Financial Services, Inc. (a)

11,672

262,387

First Marblehead Corp. (d)

25,195

1,137,302

Nelnet, Inc. Class A

4,839

124,991

Rewards Network, Inc. (a)

2,818

15,104

SLM Corp.

162,370

6,920,209

Student Loan Corp.

1,260

241,303

United Panam Financial Corp. (a)

2,785

34,590

World Acceptance Corp. (a)

3,874

158,834

50,021,885

Diversified Financial Services - 4.4%

Asset Acceptance Capital Corp. (a)

7,523

110,964

Asta Funding, Inc. (d)

5,197

171,917

Bank of America Corp.

1,814,735

92,315,569

CBOT Holdings, Inc. Class A (a)

14,444

2,334,150

Chicago Mercantile Exchange Holdings, Inc. Class A

12,811

6,906,794

CIT Group, Inc.

79,576

4,493,657

Citigroup, Inc.

2,002,938

100,948,075

Encore Capital Group, Inc. (a)

11,268

115,497

Financial Federal Corp.

5,911

160,129

Finova Group, Inc. (a)

3,400

272

First Albany Companies, Inc. (a)

1,530

2,831

Imperial Credit Industries, Inc. warrants 1/31/08 (a)

89

0

IntercontinentalExchange, Inc. (a)

25,880

3,903,998

International Securities Exchange, Inc. Class A

16,178

748,233

JPMorgan Chase & Co.

1,396,727

68,998,314

Leucadia National Corp.

71,427

2,022,098

Marlin Business Services Corp. (a)

13,466

308,775

Medallion Financial Corp.

100

1,127

MicroFinancial, Inc.

100

578

Moody's Corp.

92,966

6,016,760

NYMEX Holdings, Inc. (d)

2,902

372,617

NYSE Group, Inc. (a)(d)

20,295

1,723,046

PICO Holdings, Inc. (a)

4,299

180,988

Portfolio Recovery Associates, Inc. (a)(d)

12,533

551,953

Resource America, Inc. Class A

2,747

71,175

The NASDAQ Stock Market, Inc. (a)

40,784

1,220,665

293,680,182

Shares

Value

Insurance - 5.0%

21st Century Holding Co.

1,486

$ 27,387

21st Century Insurance Group

14,916

315,772

ACE Ltd.

133,896

7,519,599

AFLAC, Inc.

198,231

9,356,503

Alfa Corp.

16,241

295,749

Alleghany Corp.

1,921

750,381

Allied World Assurance Co. Holdings Ltd.

13,205

550,516

Allstate Corp.

254,506

15,285,630

AMBAC Financial Group, Inc.

48,059

4,211,891

American Equity Investment Life
Holding Co.

55,540

736,460

American Financial Group, Inc.

22,290

780,150

American Independence Corp. (a)

587

6,357

American International Group, Inc.

916,261

61,481,113

American National Insurance Co.

5,554

706,747

American Physicians Capital, Inc. (a)

3,587

133,006

Amerisafe, Inc. (a)

19,586

361,949

Aon Corp.

106,959

4,027,006

Arch Capital Group Ltd.

14,781

953,227

Argonaut Group, Inc. (a)

11,831

416,570

Arthur J. Gallagher & Co. (d)

31,649

906,111

Aspen Insurance Holdings Ltd.

21,238

562,807

Assurant, Inc.

38,430

2,054,084

Assured Guaranty Ltd.

22,074

624,694

Atlantic American Corp. (a)

100

336

Axis Capital Holdings Ltd.

55,183

1,865,737

Baldwin & Lyons, Inc. Class B

4,120

101,640

Berkshire Hathaway, Inc. Class A (a)(d)

419

44,493,610

Bristol West Holdings, Inc.

13,359

217,084

Brown & Brown, Inc.

60,547

1,704,398

Cincinnati Financial Corp.

60,982

2,635,642

Citizens Financial Corp., Kentucky (a)

200

1,318

Citizens, Inc. Class A (a)(d)

10,251

70,732

Clark, Inc.

1,600

27,488

CNA Financial Corp. (a)

15,858

651,129

CNA Surety Corp. (a)

10,202

201,387

Commerce Group, Inc., Massachusetts

22,491

644,817

Conseco, Inc. (d)

63,391

1,264,650

Crawford & Co. Class B

12,173

72,186

Delphi Financial Group, Inc. Class A

16,706

656,379

Direct General Corp.

12,968

269,475

EMC Insurance Group

5,875

160,153

Employers Holdings, Inc.

21,245

433,398

Endurance Specialty Holdings Ltd.

24,164

856,855

Enstar Group Ltd. (a)(d)

2,012

202,206

Erie Indemnity Co. Class A

20,910

1,127,258

Everest Re Group Ltd.

24,450

2,376,785

FBL Financial Group, Inc. Class A

5,026

195,662

Fidelity National Financial, Inc. Class A

85,516

2,052,384

First Acceptance Corp. (a)

4,717

48,161

First American Corp., California

31,308

1,476,172

FPIC Insurance Group, Inc. (a)

1,968

87,104

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Insurance - continued

Gainsco, Inc. (a)

123

$ 861

Genworth Financial, Inc. Class A (non-vtg.)

177,677

6,284,435

Great American Financial Resources, Inc.

3,973

99,484

Hanover Insurance Group, Inc.

19,329

907,883

Harleysville Group, Inc.

6,568

213,526

Hartford Financial Services Group, Inc.

128,433

12,144,624

HCC Insurance Holdings, Inc. (d)

39,802

1,247,793

Hilb Rogal & Hobbs Co.

19,099

865,185

Horace Mann Educators Corp.

21,496

435,079

Independence Holding Co.

2,923

62,698

Infinity Property & Casualty Corp.

16,435

758,968

Investors Title Co.

1,263

63,099

IPC Holdings Ltd.

20,277

589,250

Kansas City Life Insurance Co.

1,314

59,261

LandAmerica Financial Group, Inc.

7,318

509,113

Lincoln National Corp.

111,908

7,626,530

Loews Corp.

187,416

8,141,351

Markel Corp. (a)

3,432

1,643,413

Marsh & McLennan Companies, Inc.

214,904

6,322,476

Max Re Capital Ltd.

24,105

589,608

MBIA, Inc.

49,764

3,307,813

Meadowbrook Insurance Group, Inc. (a)

600

6,318

Mercury General Corp.

9,369

499,368

MetLife, Inc.

188,996

11,935,097

Montpelier Re Holdings Ltd. (d)

48,192

839,023

National Financial Partners Corp.

11,734

541,641

National Security Group, Inc.

1,845

32,749

National Western Life Insurance Co. Class A

583

132,889

Nationwide Financial Services, Inc.
Class A (sub. vtg.)

21,395

1,146,772

Navigators Group, Inc. (a)

2,565

127,481

Nymagic, Inc.

3,052

120,157

OdysseyRe Holdings Corp.

6,234

242,877

Ohio Casualty Corp.

21,422

638,804

Old Republic International Corp.

75,539

1,686,030

OneBeacon Insurance Group Ltd.

14,601

389,847

PartnerRe Ltd.

24,769

1,720,950

Penn Treaty American Corp. (a)

11,942

92,909

Philadelphia Consolidated Holdings Corp. (a)

19,424

891,756

Phoenix Companies, Inc.

40,906

584,138

Platinum Underwriters Holdings Ltd.

24,130

770,954

PMA Capital Corp. Class A

6,448

60,547

Presidential Life Corp.

6,351

129,687

Principal Financial Group, Inc.

104,510

6,363,614

ProAssurance Corp. (a)

11,050

569,075

ProCentury Corp.

22,796

459,339

Progressive Corp.

285,519

6,546,951

Protective Life Corp.

21,693

963,386

Shares

Value

Prudential Financial, Inc.

194,797

$ 17,714,839

PXRE Group Ltd. (a)

73,056

330,213

Reinsurance Group of America, Inc.

13,090

747,177

RenaissanceRe Holdings Ltd.

22,111

1,133,852

RLI Corp.

12,147

680,961

RTW, Inc. (a)

1,732

15,969

SAFECO Corp.

49,806

3,323,056

Safety Insurance Group, Inc.

7,319

310,838

Scottish Re Group Ltd.

24,430

90,391

SCPIE Holding, Inc. (a)

2,442

56,728

SeaBright Insurance Holdings, Inc. (a)

7,165

134,630

Security Capital Assurance Ltd.

25,165

748,407

Selective Insurance Group, Inc. (d)

21,036

514,120

StanCorp Financial Group, Inc.

19,687

948,913

State Auto Financial Corp.

7,238

234,584

Stewart Information Services Corp.

6,986

283,632

The Chubb Corp.

161,807

8,260,247

The Midland Co.

4,620

197,135

The Travelers Companies, Inc.

278,791

14,151,431

Torchmark Corp.

34,338

2,194,885

Tower Group, Inc.

23,335

797,590

Transatlantic Holdings, Inc.

11,668

771,255

Unico American Corp. (a)

4,102

52,218

United America Indemnity Ltd. Class A (a)

5,775

136,406

United Fire & Casualty Co.

13,483

467,186

Unitrin, Inc.

14,330

655,741

Universal American Financial Corp. (a)

13,972

268,123

UnumProvident Corp.

135,131

2,893,155

USI Holdings Corp. (a)

10,474

174,706

UTG, Inc. (a)

300

2,460

W.R. Berkley Corp.

68,800

2,242,880

Wesco Financial Corp.

578

274,232

White Mountains Insurance Group Ltd.

3,069

1,764,245

XL Capital Ltd. Class A

70,537

5,008,127

Zenith National Insurance Corp.

17,245

830,347

333,733,343

Real Estate Investment Trusts - 2.5%

Acadia Realty Trust (SBI)

10,891

294,057

Agree Realty Corp.

8,779

297,081

Alesco Financial, Inc.

80,057

863,815

Alexanders, Inc. (a)

647

264,785

Alexandria Real Estate Equities, Inc.

11,249

1,183,282

AMB Property Corp. (SBI)

33,299

1,957,315

American Campus Communities, Inc.

18,599

562,620

American Financial Realty Trust (SBI)

81,744

907,358

American Home Mortgage Investment Corp. (d)

18,430

504,061

American Land Lease, Inc.

3,584

93,184

American Mortgage Acceptance Co. (d)

1,896

23,150

Annaly Capital Management, Inc.

75,663

1,060,795

Anthracite Capital, Inc.

24,616

307,946

Anworth Mortgage Asset Corp.

15,285

135,884

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Real Estate Investment Trusts - continued

Apartment Investment & Management Co. Class A

38,021

$ 2,237,916

Arbor Realty Trust, Inc.

16,496

507,912

Archstone-Smith Trust

83,172

4,691,733

Ashford Hospitality Trust, Inc.

31,860

395,064

Associated Estates Realty Corp.

9,366

148,264

AvalonBay Communities, Inc.

33,399

4,594,366

BioMed Realty Trust, Inc.

19,153

535,326

BNP Residential Properties, Inc.

4,224

101,967

Boston Properties, Inc.

48,617

5,838,902

Brandywine Realty Trust (SBI)

30,018

1,070,142

BRE Properties, Inc. Class A

18,709

1,241,342

BRT Realty Trust

5,453

170,025

Camden Property Trust (SBI)

21,011

1,512,372

Capital Lease Funding, Inc.

16,578

175,893

Capital Trust, Inc. Class A

10,158

467,268

CapitalSource, Inc. (d)

43,210

1,114,386

Capstead Mortgage Corp.

3,145

27,519

CBL & Associates Properties, Inc.

22,024

1,037,991

Cedar Shopping Centers, Inc.

12,514

200,850

Colonial Properties Trust (SBI)

13,023

598,407

Columbia Equity Trust, Inc.

20,403

398,471

Corporate Office Properties Trust (SBI)

14,841

757,188

Cousins Properties, Inc.

20,981

720,488

Crescent Real Estate Equities Co.

37,856

752,956

DCT Industrial Trust, Inc.

62,800

710,268

Deerfield Triarc Capital Corp.

41,246

635,188

Developers Diversified Realty Corp.

38,468

2,521,962

DiamondRock Hospitality Co.

27,704

501,165

Digital Realty Trust, Inc.

18,734

742,616

Douglas Emmett, Inc.

23,000

636,180

Duke Realty LP

48,723

2,146,735

Eastgroup Properties, Inc.

7,419

400,478

ECC Capital Corp.

42,594

35,779

Education Realty Trust, Inc.

8,412

124,413

Entertainment Properties Trust (SBI)

9,023

591,007

Equity Inns, Inc.

13,055

202,353

Equity Lifestyle Properties, Inc.

5,956

335,025

Equity One, Inc.

14,649

392,886

Equity Residential (SBI)

113,046

5,741,606

Essex Property Trust, Inc.

7,589

1,054,036

Extra Space Storage, Inc.

24,319

463,034

Federal Realty Investment Trust (SBI)

20,187

1,826,722

FelCor Lodging Trust, Inc.

37,624

887,174

Fieldstone Investment Corp.

10,150

49,938

First Industrial Realty Trust, Inc.

17,711

822,676

First Potomac Realty Trust

14,473

433,466

Franklin Street Properties Corp.

30,646

588,403

Friedman, Billings, Ramsey Group, Inc. Class A

51,215

347,238

General Growth Properties, Inc.

92,609

5,874,189

Shares

Value

Getty Realty Corp.

8,960

$ 265,843

Gladstone Commercial Corp.

1,075

21,769

Glimcher Realty Trust (d)

19,141

532,311

GMH Communities Trust

22,464

240,140

Government Properties Trust, Inc.

31,400

330,956

Gramercy Capital Corp.

4,772

153,468

Health Care Property Investors, Inc.

74,224

2,729,216

Health Care REIT, Inc.

31,562

1,414,293

Healthcare Realty Trust, Inc.

16,672

645,873

Hersha Hospitality Trust

41,950

467,743

Highland Hospitality Corp.

22,464

368,634

Highwoods Properties, Inc. (SBI)

24,854

1,098,050

Home Properties of New York, Inc.

12,897

755,506

HomeBanc Mortgage Corp., Georgia (d)

29,865

83,025

Hospitality Properties Trust (SBI)

29,835

1,374,498

Host Hotels & Resorts, Inc.

217,223

5,708,620

HRPT Properties Trust (SBI) (d)

100,826

1,302,672

Impac Mortgage Holdings, Inc. (d)

17,290

113,768

Inland Real Estate Corp.

49,435

944,703

Innkeepers USA Trust (SBI)

28,022

467,967

Investors Real Estate Trust

12,777

128,409

iStar Financial, Inc.

41,047

1,964,099

JER Investments Trust, Inc.

14,053

267,288

Kilroy Realty Corp.

11,822

973,542

Kimco Realty Corp.

80,033

4,022,459

Kite Realty Group Trust

17,912

362,897

KKR Financial Corp.

36,431

1,006,589

LaSalle Hotel Properties (SBI)

17,294

768,372

Lexington Corporate Properties Trust

39,916

820,274

Liberty Property Trust (SBI)

31,873

1,633,491

Longview Fibre Co.

38,174

939,844

LTC Properties, Inc.

6,991

180,787

Luminent Mortgage Capital, Inc.

18,507

170,635

Mack-Cali Realty Corp.

18,911

977,320

Maguire Properties, Inc. (d)

23,156

904,473

Medical Properties Trust, Inc. (d)

60,649

931,569

MFA Mortgage Investments, Inc.

27,377

202,864

Mid-America Apartment
Communities, Inc.

12,611

696,506

Mission West Properties, Inc.

21,235

308,332

Monmouth Real Estate Investment Corp. Class A

6,448

55,646

National Health Investors, Inc.

10,137

308,165

National Health Realty, Inc.

6,070

144,163

National Retail Properties, Inc.

30,504

737,587

Nationwide Health Properties, Inc. (d)

29,049

960,941

New Century Financial Corp. (d)

14,781

226,149

New Plan Excel Realty Trust (d)

37,228

1,243,043

Newcastle Investment Corp.

16,669

491,736

NorthStar Realty Finance Corp.

28,660

434,772

Novastar Financial, Inc. (d)

11,336

90,348

Omega Healthcare Investors, Inc.

14,304

258,044

One Liberty Properties, Inc.

3,695

90,564

Opteum, Inc. Class A

9,741

49,289

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Real Estate Investment Trusts - continued

Parkway Properties, Inc.

2,747

$ 147,761

Pennsylvania (REIT) (SBI)

14,704

634,625

Plum Creek Timber Co., Inc.

65,165

2,584,444

Post Properties, Inc.

15,538

747,689

Potlatch Corp.

14,515

656,078

ProLogis Trust

99,917

6,607,511

PS Business Parks, Inc.

6,774

487,728

Public Storage, Inc.

47,478

4,808,097

Quadra Realty Trust, Inc.

5,162

71,649

RAIT Investment Trust (SBI)

27,276

912,382

Ramco-Gershenson Properties Trust (SBI)

6,210

221,697

Rayonier, Inc.

25,044

1,118,465

Realty Income Corp.

28,718

790,032

Redwood Trust, Inc.

15,917

859,518

Regency Centers Corp.

22,091

1,894,082

Saul Centers, Inc.

8,021

459,603

Senior Housing Properties Trust (SBI)

34,862

834,596

Simon Property Group, Inc.

86,757

9,780,984

SL Green Realty Corp.

19,483

2,841,790

Sovran Self Storage, Inc.

11,580

674,188

Spirit Finance Corp.

45,185

583,790

Strategic Hotel & Resorts, Inc.

35,287

742,086

Sun Communities, Inc.

4,849

148,767

Sunstone Hotel Investors, Inc.

27,687

784,650

Tanger Factory Outlet Centers, Inc.

6,926

278,287

Taubman Centers, Inc.

24,114

1,434,060

The Macerich Co.

28,483

2,666,009

The Mills Corp. (d)

20,000

499,400

Thornburg Mortgage, Inc. (SBI) (d)

41,436

1,049,160

Transcontinental Realty Investors, Inc. (a)

600

8,292

U-Store-It Trust

29,040

627,264

UMH Properties, Inc.

5,458

81,433

United Dominion Realty Trust, Inc. (SBI)

50,836

1,659,795

Universal Health Realty Income Trust (SBI)

6,111

228,613

Urstadt Biddle Properties, Inc.

365

6,271

Urstadt Biddle Properties, Inc. Class A

8,855

159,567

Ventas, Inc.

41,482

1,901,120

Vornado Realty Trust

53,620

6,820,464

Washington (REIT) (SBI)

13,624

544,688

Weingarten Realty Investors (SBI)

23,346

1,154,226

Winston Hotels, Inc.

8,453

118,680

Winthrop Realty Trust

983

6,547

165,821,958

Real Estate Management & Development - 0.2%

Affordable Residential Communties, Inc. (d)

16,341

193,968

Brookfield Properties Corp.

50,426

2,243,957

CB Richard Ellis Group, Inc. Class A (a)

74,159

2,470,978

Consolidated-Tomoka Land Co.

2,829

216,758

Forest City Enterprises, Inc. Class A

26,013

1,607,083

Jones Lang LaSalle, Inc.

11,442

1,211,136

Shares

Value

Meruelo Maddux Properties, Inc.

13,300

$ 127,547

Move, Inc.

41,866

249,940

Realogy Corp. (a)

80,663

2,386,012

Tejon Ranch Co. (a)

2,676

127,083

The St. Joe Co. (d)

30,747

1,710,763

United Capital Corp. (a)

2,262

70,461

12,615,686

Thrifts & Mortgage Finance - 1.5%

Accredited Home Lenders Holding Co. (a)(d)

8,212

184,606

Anchor BanCorp Wisconsin, Inc.

9,322

263,533

Astoria Financial Corp.

35,738

1,010,313

Bank Mutual Corp.

18,027

210,736

BankAtlantic Bancorp, Inc. Class A (non-vtg.)

10,747

137,132

BankUnited Financial Corp. Class A

24,961

609,548

BCSB Bankcorp, Inc.

3,596

54,659

Berkshire Hills Bancorp, Inc.

1,481

51,198

Brookline Bancorp, Inc., Delaware

37,359

476,701

Camco Financial Corp.

404

4,933

Capitol Federal Financial

19,206

719,265

CFS Bancorp, Inc.

800

11,736

Charter Financial Corp., Georgia

976

47,336

Charter Municipal Mortgage
Acceptance Co.

15,417

294,002

Citizens South Banking Corp., Delaware

4,457

59,234

City Bank Lynnwood, Washington

13,020

408,437

Clifton Savings Bancorp, Inc.

17,436

205,919

Coastal Financial Corp. (d)

10,562

170,048

Corus Bankshares, Inc. (d)

27,734

514,743

Countrywide Financial Corp.

252,927

9,682,046

Dime Community Bancshares, Inc.

9,225

115,958

Doral Financial Corp. (d)

21,495

46,644

Downey Financial Corp. (d)

10,368

679,519

ESB Financial Corp.

6,022

66,182

Fannie Mae

388,291

22,027,748

Farmer Mac Class C (non-vtg.)

7,000

179,200

First Busey Corp. (d)

7,930

173,112

First Defiance Financial Corp.

3,662

105,575

First Financial Holdings, Inc.

7,180

248,787

First Financial Service Corp.

2,667

83,210

First Niagara Financial Group, Inc.

40,371

573,268

First Place Financial Corp.

7,637

159,766

FirstFed Financial Corp., Delaware (a)(d)

10,625

607,750

Flagstar Bancorp, Inc.

25,355

350,913

Flushing Financial Corp.

3,744

60,840

Franklin Bank Corp.

18,082

333,613

Freddie Mac

278,515

17,875,093

Fremont General Corp. (d)

19,720

173,536

Guaranty Federal Bancshares, Inc.

1,075

31,616

Hingham Institution for Savings

1,751

63,579

Home Federal Bancorp

2,634

77,703

Hudson City Bancorp, Inc.

199,237

2,669,776

IndyMac Bancorp, Inc. (d)

23,096

792,886

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Thrifts & Mortgage Finance - continued

ITLA Capital Corp.

3,075

$ 158,732

KNBT Bancorp, Inc.

13,555

204,952

MAF Bancorp., Inc.

21,029

930,533

MASSBANK Corp.

886

29,070

MGIC Investment Corp.

31,448

1,897,887

NASB Financial, Inc.

1,400

48,944

NetBank, Inc.

9,306

29,965

New York Community Bancorp, Inc.

90,030

1,507,102

NewAlliance Bancshares, Inc.

36,177

571,597

NexCen Brands, Inc. (a)

8,613

89,920

Northwest Bancorp, Inc.

7,404

194,429

OceanFirst Financial Corp.

6,806

141,565

Ocwen Financial Corp. (a)

16,398

190,709

Oritani Financial Corp. (a)

4,300

66,220

Pacific Premier Bancorp, Inc. (a)

40

458

Pamrapo Bancorp, Inc.

3,273

77,341

Parkvale Financial Corp.

597

17,880

Partners Trust Financial Group, Inc.

18,520

210,017

Pennfed Financial Services, Inc.

7,245

147,436

People's Bank

24,499

1,087,511

Peoples Bancorp, Auburn, Indiana

300

5,949

PFF Bancorp, Inc.

12,718

402,143

Provident Financial Holdings, Inc.

1,612

43,750

Provident Financial Services, Inc.

44,816

786,969

Provident New York Bancorp

8,838

119,755

PVF Capital Corp.

4,876

57,878

Radian Group, Inc.

31,947

1,835,355

Riverview Bancorp, Inc.

7,997

134,749

Sovereign Bancorp, Inc.

136,556

3,450,770

TF Financial Corp.

1,890

57,173

The PMI Group, Inc.

25,929

1,215,292

TierOne Corp.

11,942

331,868

Timberland Bancorp, Inc.

2,928

106,257

Triad Guaranty, Inc. (a)

5,075

230,710

Trustco Bank Corp., New York

67,794

670,483

United Community Financial Corp., Ohio

12,574

135,673

Washington Federal, Inc.

25,984

617,900

Washington Mutual, Inc.

382,834

16,492,489

Webster Financial Corp.

17,297

854,299

Westfield Financial, Inc.

8,879

93,851

Willow Financial Bancorp, Inc.

5,198

65,703

WSFS Financial Corp.

2,835

190,229

98,113,912

TOTAL FINANCIALS

1,432,847,113

HEALTH CARE - 11.7%

Biotechnology - 1.7%

Aastrom Biosciences, Inc. (a)

1,900

2,717

Acorda Therapeutics, Inc. (d)

19,833

430,574

Shares

Value

Alexion Pharmaceuticals, Inc. (a)

11,044

$ 407,303

Alkermes, Inc. (a)

37,941

622,232

Alnylam Pharmaceuticals, Inc. (a)(d)

13,382

251,582

Amgen, Inc. (a)

466,181

29,956,791

Amylin Pharmaceuticals, Inc. (a)(d)

44,668

1,738,032

Antigenics, Inc. (a)

5,388

9,860

Arena Pharmaceuticals, Inc. (a)

25,188

318,628

ARIAD Pharmaceuticals, Inc. (a)(d)

84,946

410,289

ArQule, Inc. (a)

4,060

26,877

Array Biopharma, Inc. (a)

25,095

294,364

Avant Immunotherapeutics, Inc. (a)

2,169

3,102

AVI BioPharma, Inc. (a)(d)

2,700

7,182

Avigen, Inc. (a)

1,600

11,120

BioCryst Pharmaceuticals, Inc. (a)

2,030

20,523

Biogen Idec, Inc. (a)

139,486

6,303,372

BioMarin Pharmaceutical, Inc. (a)

52,480

893,734

BioSphere Medical, Inc. (a)

800

5,472

Boston Life Sciences, Inc. (a)(d)

1,080

2,473

Celgene Corp. (a)

147,586

7,866,334

Cell Genesys, Inc. (a)

6,687

21,666

Cell Therapeutics, Inc. (a)(d)

164,321

246,482

Cephalon, Inc. (a)

25,824

1,835,570

Cepheid, Inc. (a)

43,127

343,722

Coley Pharmaceutical Group, Inc. (a)(d)

8,285

77,713

Cubist Pharmaceuticals, Inc. (a)

19,544

391,466

CuraGen Corp. (a)

5,707

24,483

CV Therapeutics, Inc. (a)(d)

35,100

448,227

Cytogen Corp. (a)

370

932

Cytokinetics, Inc. (a)

14,366

111,624

Dendreon Corp. (a)(d)

21,684

100,614

Digene Corp. (a)

12,665

598,801

Dyax Corp. (a)

11,447

43,956

Dynavax Technologies Corp. (a)

35,880

179,400

Encysive Pharmaceuticals, Inc. (a)(d)

17,196

59,670

EntreMed, Inc. (a)

3,700

5,772

Enzon Pharmaceuticals, Inc. (a)(d)

46,219

382,693

Exact Sciences Corp. (a)

3,245

8,794

Genaera Corp. (a)

7,533

2,863

Genelabs Technologies, Inc. (a)

1,960

4,038

Genentech, Inc. (a)

187,837

15,847,808

Genitope Corp. (a)(d)

14,102

49,216

Genta, Inc. (a)

27,794

14,175

GenVec, Inc. (a)

20,350

61,050

Genzyme Corp. (a)

108,551

6,708,452

Geron Corp. (a)(d)

39,828

301,896

Gilead Sciences, Inc. (a)

184,566

13,207,543

GTC Biotherapeutics, Inc. (a)

4,100

4,141

Halozyme Therapeutics, Inc. (a)(d)

42,200

349,838

Hemispherx Biopharma, Inc. (a)

800

1,440

Human Genome Sciences, Inc. (a)(d)

62,626

688,886

Idenix Pharmaceuticals, Inc. (a)(d)

4,502

42,814

IDM Pharma, Inc. (a)

442

1,432

ImClone Systems, Inc. (a)

24,434

703,944

ImmunoGen, Inc. (a)

2,572

12,371

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Biotechnology - continued

Immunomedics, Inc. (a)(d)

5,227

$ 23,783

Incyte Corp. (a)

29,873

191,486

Indevus Pharmaceuticals, Inc. (a)(d)

9,649

66,771

Infinity Pharmaceuticals, Inc. (a)

53

696

InterMune, Inc. (a)(d)

14,390

436,305

Introgen Therapeutics, Inc. (a)(d)

6,886

28,577

Isis Pharmaceuticals, Inc. (a)

44,948

409,926

Keryx Biopharmaceuticals, Inc. (a)

23,883

272,266

Kosan Biosciences, Inc. (a)

1,712

10,032

La Jolla Pharmaceutical Co. (a)(d)

2,083

6,416

Lexicon Genetics, Inc. (a)

6,506

26,870

Ligand Pharmaceuticals, Inc. Class B (a)

15,845

178,098

MannKind Corp. (a)(d)

13,867

220,624

Martek Biosciences (a)(d)

10,073

227,851

Maxygen, Inc. (a)

6,687

73,758

Medarex, Inc. (a)(d)

62,112

849,692

MedImmune, Inc. (a)

92,047

2,937,220

Millennium Pharmaceuticals, Inc. (a)(d)

136,454

1,473,703

Momenta Pharmaceuticals, Inc. (a)(d)

11,130

136,454

Monogram Biosciences, Inc. (a)

20,122

39,842

Myriad Genetics, Inc. (a)

13,047

436,553

Nabi Biopharmaceuticals (a)(d)

12,447

65,969

Neopharm, Inc. (a)(d)

3,904

7,418

Neose Technologies, Inc. (a)

1,356

2,902

Neurocrine Biosciences, Inc. (a)(d)

15,860

199,995

Neurogen Corp. (a)

500

3,135

Northfield Laboratories, Inc. (a)(d)

11,290

43,918

Novavax, Inc. (a)(d)

6,883

22,852

NPS Pharmaceuticals, Inc. (a)

6,507

22,840

Nuvelo, Inc. (a)

19,505

63,976

ONYX Pharmaceuticals, Inc. (a)(d)

27,635

725,419

Orchid Cellmark, Inc. (a)(d)

3,164

12,972

Orthologic Corp. (a)

7,445

11,838

Oscient Pharmaceuticals Corp. (a)

693

3,597

OSI Pharmaceuticals, Inc. (a)(d)

24,694

854,412

Palatin Technologies, Inc. (a)

13,627

28,344

Panacos Pharmaceuticals, Inc. (a)(d)

50,213

215,916

PDL BioPharma, Inc. (a)

52,396

1,000,240

Peregrine Pharmaceuticals, Inc. (a)

8,337

8,587

Pharmacopeia Drug Discovery, Inc. (a)

2,082

9,723

Pharmacyclics, Inc. (a)

4,815

14,830

Pharmion Corp. (a)

10,783

282,299

Progenics Pharmaceuticals, Inc. (a)

15,270

423,743

Regeneron Pharmaceuticals, Inc. (a)

33,166

658,013

Renovis, Inc. (a)

10,098

35,444

Repligen Corp. (a)

6,096

18,898

Rigel Pharmaceuticals, Inc. (a)

8,617

90,220

Sangamo Biosciences, Inc. (a)(d)

1,300

9,178

Savient Pharmaceuticals, Inc. (a)

30,093

407,459

SciClone Pharmaceuticals, Inc. (a)

7,834

23,972

Seattle Genetics, Inc. (a)(d)

8,162

63,664

Shares

Value

Senomyx, Inc. (a)

19,558

$ 246,822

Sonus Pharmaceuticals, Inc. (a)

200

1,074

StemCells, Inc. (a)(d)

7,323

19,186

Tanox, Inc. (a)

6,042

117,215

Tapestry Pharmaceuticals, Inc. (a)

630

1,008

Telik, Inc. (a)(d)

13,264

76,931

Theravance, Inc. (a)

27,633

891,164

Titan Pharmaceuticals, Inc. (a)

1,300

3,315

TorreyPines Therapeutics, Inc. (a)

3,331

26,015

Trimeris, Inc. (a)

16,866

192,778

United Therapeutics Corp. (a)

7,994

449,263

Vanda Pharmaceuticals, Inc.

9,603

231,048

Vertex Pharmaceuticals, Inc. (a)

50,968

1,564,208

Vical, Inc. (a)

1,900

9,918

Vion Pharmaceuticals, Inc. (a)(d)

4,500

6,705

Viragen, Inc. (a)

1,410

197

XOMA Ltd. (a)

13,136

42,035

Zymogenetics, Inc. (a)(d)

16,580

248,700

109,972,331

Health Care Equipment & Supplies - 1.9%

Abaxis, Inc. (a)

11,989

273,469

Abiomed, Inc. (a)(d)

5,492

76,778

Accuray, Inc.

6,200

157,976

Adeza Biomedical Corp. (a)

5,971

144,856

Advanced Medical Optics, Inc. (a)(d)

26,399

1,017,417

Align Technology, Inc. (a)

14,387

236,235

American Medical Systems Holdings, Inc. (a)

27,974

568,991

Analogic Corp.

8,043

450,006

Angiodynamics, Inc. (a)

5,971

143,304

Arrow International, Inc.

7,723

257,717

ArthroCare Corp. (a)

11,130

404,576

Aspect Medical Systems, Inc. (a)

6,586

106,364

Atrion Corp.

239

22,705

Bausch & Lomb, Inc.

22,290

1,164,875

Baxter International, Inc.

267,715

13,388,427

Beckman Coulter, Inc.

24,537

1,574,294

Becton, Dickinson & Co.

91,435

6,948,146

BioLase Technology, Inc. (a)(d)

4,009

33,836

Biomet, Inc.

92,284

3,906,382

Biosite, Inc. (a)

6,094

323,713

Boston Scientific Corp. (a)

541,277

8,828,228

C.R. Bard, Inc.

48,177

3,844,525

Candela Corp. (a)

10,141

115,506

Cantel Medical Corp. (a)

10,922

168,090

Cardiac Science Corp. (a)

1,171

9,989

Cardiodynamics International Corp. (a)

8,210

9,113

Cerus Corp. (a)

7,762

41,449

Cholestech Corp. (a)

3,529

57,699

Clarient, Inc. (a)

3,500

5,810

Conceptus, Inc. (a)

4,009

75,289

CONMED Corp. (a)

22,708

621,291

Cooper Companies, Inc.

14,322

657,237

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Health Care Equipment & Supplies - continued

Cutera, Inc. (a)

5,971

$ 208,686

Cyberonics, Inc. (a)(d)

4,454

91,218

Cytyc Corp. (a)

39,651

1,201,425

Dade Behring Holdings, Inc.

36,036

1,476,035

Datascope Corp.

3,463

123,975

DENTSPLY International, Inc.

54,636

1,723,219

DexCom, Inc. (a)

17,534

141,850

DiaSys Corp. (a)

2,600

338

DJO, Inc. (a)

8,262

323,705

Edwards Lifesciences Corp. (a)

21,469

1,083,540

EPIX Pharmaceuticals, Inc. (a)

2,304

15,483

ev3, Inc. (a)(d)

3,241

63,653

Exactech, Inc. (a)

2,735

42,010

Fonar Corp. (a)

20,925

5,336

Foxhollow Technologies, Inc. (a)

3,172

70,926

Gen-Probe, Inc. (a)

18,281

877,854

Greatbatch, Inc. (a)

3,821

99,193

Haemonetics Corp. (a)

9,510

427,950

HealthTronics, Inc. (a)

8,119

50,094

Hillenbrand Industries, Inc.

22,502

1,345,620

Hologic, Inc. (a)

25,713

1,415,501

Hospira, Inc. (a)

62,683

2,398,878

I-Flow Corp. (a)(d)

11,248

162,084

ICU Medical, Inc. (a)

5,433

212,213

IDEXX Laboratories, Inc. (a)

10,878

937,466

Immucor, Inc. (a)

21,459

638,191

Implant Sciences Corp. (a)

200

450

Integra LifeSciences Holdings Corp. (a)

4,777

200,873

IntraLase Corp. (a)

26,476

652,898

Intuitive Surgical, Inc. (a)(d)

15,142

1,682,276

Invacare Corp.

17,763

330,037

Inverness Medical Innovations, Inc. (a)

22,945

968,279

IRIS International, Inc. (a)

8,470

96,050

IVAX Diagnostics, Inc. (a)

3,600

3,816

Kensey Nash Corp. (a)

1,684

48,263

Kewaunee Scientific Corp.

1,601

16,426

Kinetic Concepts, Inc. (a)

19,216

944,466

Kyphon, Inc. (a)

18,589

838,550

LifeCell Corp. (a)(d)

18,834

449,568

Lifecore Biomedical, Inc. (a)

11,000

187,770

Medical Action Industries, Inc. (a)

5,016

111,456

Medtronic, Inc.

462,755

23,304,342

Mentor Corp.

18,763

900,812

Meridian Bioscience, Inc.

20,333

546,144

Merit Medical Systems, Inc. (a)

3,826

53,832

Microtek Medical Holdings, Inc. (a)

11,278

53,345

Natus Medical, Inc. (a)

19,219

309,618

Neogen Corp. (a)

1,941

44,352

Neoprobe Corp. (a)

100

22

North American Scientific, Inc. (a)

2,705

2,840

NuVasive, Inc. (a)

32,642

771,330

Shares

Value

NxStage Medical, Inc. (a)(d)

36,056

$ 441,686

OraSure Technologies, Inc. (a)

13,767

109,585

Osteotech, Inc. (a)

3,427

26,148

Palomar Medical Technologies, Inc. (a)(d)

10,806

441,749

PLC Systems, Inc. (a)

400

228

PolyMedica Corp.

5,662

234,407

Possis Medical, Inc. (a)

3,702

45,424

Quidel Corp. (a)

7,506

80,840

Regeneration Technologies, Inc. (a)

3,005

21,245

ResMed, Inc. (a)

30,669

1,465,365

Respironics, Inc. (a)

30,626

1,254,747

Retractable Technologies, Inc. (a)

6,105

17,705

Sirona Dental Systems, Inc.

3,582

133,322

Somanetics Corp. (a)(d)

5,971

122,406

Sonic Innovations, Inc. (a)

3,941

28,139

SonoSite, Inc. (a)

9,861

296,619

St. Jude Medical, Inc. (a)

148,577

5,891,078

Staar Surgical Co. (a)

3,978

24,504

Stereotaxis, Inc. (a)(d)

28,535

328,438

Steris Corp.

31,280

810,152

Strategic Diagnostics, Inc. (a)

3,100

13,423

Stryker Corp.

112,174

6,957,031

SurModics, Inc. (a)(d)

2,985

110,475

Symmetry Medical, Inc. (a)

14,077

209,888

Synovis Life Technologies, Inc. (a)

1,000

12,460

The Spectranetics Corp. (a)

20,955

220,237

Theragenics Corp. (a)

1,300

6,253

Thermogenesis Corp. (a)

73,719

226,317

Thoratec Corp. (a)

31,669

622,296

Urologix, Inc. (a)

3,800

12,198

Varian Medical Systems, Inc. (a)

57,847

2,658,070

Viasys Healthcare, Inc. (a)

26,571

821,841

Vital Signs, Inc.

1,598

84,502

Volcano Corp.

19,293

366,760

West Pharmaceutical Services, Inc.

14,675

664,191

Wright Medical Group, Inc. (a)

27,921

624,034

Young Innovations, Inc.

2,508

64,054

Zimmer Holdings, Inc. (a)

94,019

7,928,622

Zoll Medical Corp.

3,804

105,789

126,770,779

Health Care Providers & Services - 2.5%

Aetna, Inc.

215,758

9,551,607

Alliance Imaging, Inc. (a)

5,330

38,323

Amedisys, Inc. (a)

9,316

297,926

American Dental Partners, Inc. (a)

4,710

95,378

AMERIGROUP Corp. (a)

23,431

775,097

AmerisourceBergen Corp.

77,811

4,098,305

AMN Healthcare Services, Inc. (a)

23,002

639,456

AmSurg Corp. (a)

12,681

292,297

Animal Health International, Inc.

5,300

68,370

Apria Healthcare Group, Inc. (a)

13,320

424,242

Assisted Living Concepts, Inc. Class A (a)

49,001

561,061

Bio-Reference Laboratories, Inc. (a)

13,966

342,027

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Health Care Providers & Services - continued

BioScrip, Inc. (a)

8,518

$ 26,917

Brookdale Senior Living, Inc.

18,026

851,007

BSML, Inc. (a)(d)

465

646

Capital Senior Living Corp. (a)

30,965

333,803

Cardinal Health, Inc.

164,055

11,498,615

Caremark Rx, Inc.

174,932

10,774,062

Centene Corp. (a)

15,579

375,765

Chemed Corp.

11,292

522,707

CIGNA Corp.

42,736

6,089,880

Community Health Systems, Inc. (a)

34,685

1,292,016

Corvel Corp. (a)

2,959

89,125

Coventry Health Care, Inc. (a)

67,091

3,651,092

Cross Country Healthcare, Inc. (a)

7,031

133,941

Cryolife, Inc.

4,384

34,502

DaVita, Inc. (a)

39,913

2,177,254

Dialysis Corp. of America (a)

3,005

41,469

Express Scripts, Inc. (a)

43,558

3,284,709

Five Star Quality Care, Inc. (a)

28,197

322,292

Genesis HealthCare Corp. (a)

10,566

666,186

Gentiva Health Services, Inc. (a)

8,630

170,356

Hanger Orthopedic Group, Inc. (a)

3,419

39,900

Health Management Associates, Inc. Class A

91,888

1,834,084

Health Net, Inc. (a)

42,929

2,295,414

HealthExtras, Inc. (a)

6,788

179,882

HealthSouth Corp. (a)

27,400

656,504

Healthspring, Inc.

18,277

386,193

Healthways, Inc. (a)

10,898

473,954

Henry Schein, Inc. (a)

32,962

1,719,628

HMS Holdings Corp. (a)

18,275

361,845

Hooper Holmes, Inc. (a)

7,290

28,067

Humana, Inc. (a)

65,192

3,901,089

InVentiv Health, Inc. (a)

17,853

651,099

Kindred Healthcare, Inc. (a)

17,467

575,014

Laboratory Corp. of America Holdings (a)

51,841

4,134,320

Landauer, Inc.

1,672

85,055

LCA-Vision, Inc.

7,643

333,235

LHC Group, Inc. (a)

14,902

427,389

LifePoint Hospitals, Inc. (a)

24,276

888,502

Lincare Holdings, Inc. (a)

38,445

1,501,277

Magellan Health Services, Inc. (a)

16,053

671,176

Manor Care, Inc.

26,054

1,395,973

Matria Healthcare, Inc. (a)

15,369

389,912

McKesson Corp.

117,001

6,523,976

Medcath Corp. (a)

8,479

246,061

Medco Health Solutions, Inc. (a)

117,733

7,959,928

Medical Staffing Network Holdings, Inc. (a)

4,777

30,429

Molina Healthcare, Inc. (a)

5,873

183,003

MWI Veterinary Supply, Inc. (a)

10,005

310,455

Shares

Value

National Healthcare Corp.

2,394

$ 131,143

Nighthawk Radiology Holdings, Inc.

15,857

329,508

Odyssey Healthcare, Inc. (a)

14,808

201,093

Omnicare, Inc.

47,449

1,971,031

Option Care, Inc.

7,510

99,733

Owens & Minor, Inc.

13,189

434,841

Patterson Companies, Inc. (a)

51,726

1,726,614

PDI, Inc. (a)

1,588

16,039

Pediatrix Medical Group, Inc. (a)

17,497

946,588

Providence Service Corp. (a)

1,194

26,268

PSS World Medical, Inc. (a)

20,301

421,043

Psychiatric Solutions, Inc.

16,446

657,182

Quest Diagnostics, Inc.

60,460

3,084,669

Radiation Therapy Services, Inc. (a)

9,129

275,513

RehabCare Group, Inc. (a)

15,055

228,836

ResCare, Inc. (a)

18,619

331,791

Rural/Metro Corp. (a)

7,404

56,048

Sierra Health Services, Inc. (a)

17,573

653,013

SRI/Surgical Express, Inc. (a)

900

4,563

Sun Healthcare Group, Inc. (a)

24,223

318,532

Sunrise Senior Living, Inc.

16,767

657,099

Symbion, Inc. (a)

12,792

267,097

Tenet Healthcare Corp. (a)(d)

179,112

1,223,335

Triad Hospitals, Inc. (a)

34,860

1,709,883

U.S. Physical Therapy, Inc. (a)

3,075

41,543

United Surgical Partners International, Inc. (a)

23,321

712,223

UnitedHealth Group, Inc.

538,931

28,132,198

Universal Health Services, Inc. Class B

20,026

1,158,704

VCA Antech, Inc. (a)

28,425

1,043,482

VistaCare, Inc. Class A (a)

3,424

32,254

Wellcare Health Plans, Inc. (a)

15,442

1,267,943

WellPoint, Inc. (a)

250,727

19,905,217

165,768,823

Health Care Technology - 0.1%

A.D.A.M., Inc. (a)

1,800

11,160

Allscripts Healthcare Solutions, Inc. (a)

21,614

585,307

AMICAS, Inc. (a)

9,737

27,848

Cerner Corp. (a)(d)

27,410

1,428,335

Claimsnet.com, Inc. (a)

3,100

468

Computer Programs & Systems, Inc.

2,546

73,274

Dendrite International, Inc. (a)

7,257

92,454

Eclipsys Corp. (a)

19,157

400,764

Emageon, Inc. (a)(d)

20,901

243,915

Emdeon Corp. (a)

54,372

812,318

IMS Health, Inc.

82,527

2,383,380

Merge Technologies, Inc.

11,344

57,174

Omnicell, Inc. (a)

29,246

567,665

Phase Forward, Inc. (a)

23,819

315,125

ProxyMed, Inc. (a)

63

360

TriZetto Group, Inc. (a)

17,011

354,339

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Health Care Technology - continued

Vital Images, Inc. (a)

11,918

$ 409,622

WebMD Health Corp. Class A (a)(d)

8,782

472,384

8,235,892

Life Sciences Tools & Services - 0.4%

Accelrys, Inc. (a)

4,972

31,622

Advanced Magnetics, Inc. (a)

8,266

487,446

Affymetrix, Inc. (a)

28,601

735,904

Albany Molecular Research, Inc. (a)

5,732

54,225

Alliance Pharmaceutical Corp. (a)

300

35

Applera Corp.:

- Applied Biosystems Group

71,845

2,218,574

- Celera Genomics Group (a)

21,539

299,607

Bio-Rad Laboratories, Inc. Class A (a)

9,056

642,252

BioVeris Corp. (a)

6,768

79,795

Bruker BioSciences Corp. (a)

14,837

133,681

Caliper Life Sciences, Inc. (a)

5,632

32,835

Cambrex Corp.

21,547

496,874

Charles River Laboratories International, Inc. (a)

28,543

1,308,697

Ciphergen Biosystems, Inc. (a)

2,209

2,872

Covance, Inc. (a)

24,810

1,529,785

Cryo-Cell International, Inc. (a)

9,581

21,078

Dionex Corp. (a)

12,755

785,963

Diversa Corp. (a)(d)

7,284

54,703

Enzo Biochem, Inc. (a)(d)

6,097

88,102

eResearchTechnology, Inc. (a)(d)

8,484

60,067

Exelixis, Inc. (a)

45,977

462,988

Gene Logic, Inc. (a)

4,200

7,560

Harvard Bioscience, Inc. (a)

786

3,985

Illumina, Inc. (a)

22,715

762,997

Invitrogen Corp. (a)

19,940

1,261,205

Kendle International, Inc. (a)

3,463

119,993

Luminex Corp. (a)

12,155

171,021

Millipore Corp. (a)

23,832

1,704,465

Molecular Devices Corp. (a)

6,809

240,290

Nanogen, Inc. (a)

1,100

1,562

Nektar Therapeutics (a)(d)

48,707

577,665

New Brunswick Scientific, Inc. (a)

3,873

34,392

PAREXEL International Corp. (a)

16,104

547,697

PerkinElmer, Inc.

49,185

1,165,685

Pharmaceutical Product Development, Inc.

41,120

1,307,205

PharmaNet Development Group, Inc. (a)

5,555

112,878

PRA International (a)

6,087

122,105

Sequenom, Inc. (a)

2,480

10,391

Techne Corp. (a)

17,057

960,650

Thermo Fisher Scientific, Inc. (a)

159,005

7,198,156

Third Wave Technologies, Inc. (a)

8,600

45,236

Tripos, Inc. (a)

2,100

1,260

Varian, Inc. (a)

9,977

543,048

Shares

Value

Ventana Medical Systems, Inc. (a)

11,828

$ 476,077

Waters Corp. (a)

39,726

2,155,533

29,058,161

Pharmaceuticals - 5.1%

Abbott Laboratories

617,241

33,713,703

Abraxis BioScience, Inc. (a)

8,880

233,899

Acusphere, Inc. (a)(d)

2,800

7,588

Adams Respiratory Therapeutics, Inc. (a)

13,979

507,717

Adolor Corp. (a)

25,094

167,628

Advancis Pharmaceutical Corp. (a)(d)

2,800

7,028

Alexza Pharmaceuticals, Inc.

13,000

130,260

Allergan, Inc.

62,683

7,002,318

Alpharma, Inc. Class A

16,165

426,109

Atherogenics, Inc. (a)(d)

6,856

74,936

AVANIR Pharmaceuticals Class A (a)

21,996

40,913

Barr Pharmaceuticals, Inc. (a)

40,653

2,154,609

Bentley Pharmaceuticals, Inc. (a)

2,936

25,044

Bradley Pharmaceuticals, Inc. (a)

2,005

38,857

Bristol-Myers Squibb Co.

785,088

20,718,472

Collagenex Pharmaceuticals, Inc. (a)

2,627

35,517

Columbia Laboratories, Inc. (a)

7,190

10,210

Cypress Bioscience, Inc. (a)

3,268

25,360

DepoMed, Inc. (a)(d)

8,176

28,371

Discovery Laboratories, Inc. (a)(d)

3,800

8,360

Durect Corp. (a)(d)

9,673

38,982

Eli Lilly & Co.

391,454

20,606,139

Emisphere Technologies, Inc. (a)(d)

3,941

19,784

Endo Pharmaceuticals Holdings, Inc. (a)

55,286

1,725,476

Epicept Corp. (a)

305

494

Forest Laboratories, Inc. (a)

131,768

6,820,312

Hi-Tech Pharmacal Co., Inc. (a)

2,015

22,185

Hollis-Eden Pharmaceuticals, Inc. (a)

1,300

7,020

Immtech Pharmaceuticals, Inc. (a)

1,200

7,116

Inspire Pharmaceuticals, Inc. (a)

17,519

120,881

Johnson & Johnson

1,170,418

73,794,855

King Pharmaceuticals, Inc. (a)

110,765

2,065,767

KV Pharmaceutical Co. Class A (a)

25,710

633,752

Matrixx Initiatives, Inc. (a)

3,709

66,280

Medicines Co. (a)

23,730

639,998

Medicis Pharmaceutical Corp. Class A (d)

23,715

862,277

Merck & Co., Inc.

871,365

38,479,478

MGI Pharma, Inc. (a)

37,405

793,734

Mylan Laboratories, Inc.

93,756

1,984,815

Nastech Pharmaceutical Co., Inc. (a)(d)

25,476

294,503

New River Pharmaceuticals, Inc.

10,250

648,313

NitroMed, Inc. (a)(d)

7,065

27,200

Noven Pharmaceuticals, Inc. (a)

16,093

396,210

Pain Therapeutics, Inc. (a)(d)

35,234

277,996

Par Pharmaceutical Companies, Inc. (a)

9,270

225,076

Penwest Pharmaceuticals Co. (a)

3,340

44,188

Perrigo Co.

28,076

468,869

Pfizer, Inc.

2,890,377

72,143,810

Pharmos Corp. (a)

2,500

3,900

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Pharmaceuticals - continued

Pozen, Inc. (a)

20,149

$ 316,944

Salix Pharmaceuticals Ltd. (a)

14,324

203,544

Santarus, Inc. (a)(d)

14,630

96,704

Schering-Plough Corp.

596,101

13,996,451

Sciele Pharma, Inc. (a)

14,633

336,559

Sepracor, Inc. (a)(d)

41,712

2,192,383

Spectrum Pharmaceuticals, Inc. (a)

192

1,146

SuperGen, Inc. (a)

6,806

32,533

Valeant Pharmaceuticals International

38,701

693,909

ViroPharma, Inc. (a)

32,812

524,992

Vivus, Inc. (a)(d)

9,023

35,641

Warner Chilcott Ltd.

26,338

391,909

Watson Pharmaceuticals, Inc. (a)

45,396

1,196,639

Wyeth

535,979

26,220,093

Xenoport, Inc. (a)

15,634

403,045

Zila, Inc. (a)

4,200

8,862

335,227,663

TOTAL HEALTH CARE

775,033,649

INDUSTRIALS - 10.8%

Aerospace & Defense - 2.0%

AAR Corp. (a)

25,963

755,783

AeroCentury Corp. (a)

800

11,264

AeroVironment, Inc.

3,200

68,064

Alliant Techsystems, Inc. (a)

13,367

1,156,914

Applied Signal Technology, Inc.

2,269

36,576

Argon ST, Inc. (a)

14,975

362,844

Armor Holdings, Inc. (a)

10,956

697,788

Astronics Corp. (a)

2,747

49,034

BE Aerospace, Inc. (a)

35,876

1,083,096

Ceradyne, Inc. (a)

7,036

363,058

Cubic Corp.

5,635

118,899

Curtiss-Wright Corp.

14,583

510,113

DRS Technologies, Inc.

12,970

687,280

Ducommun, Inc. (a)

3,105

79,426

DynCorp International, Inc. Class A

8,722

144,785

EDO Corp.

3,941

94,742

Esterline Technologies Corp. (a)

9,560

391,195

GenCorp, Inc. (non-vtg.) (a)

32,091

445,744

General Dynamics Corp.

136,149

10,409,953

Goodrich Corp.

53,754

2,636,634

Heico Corp. Class A

5,890

188,303

Herley Industries, Inc. (a)

3,619

55,624

Hexcel Corp. (a)(d)

36,077

651,551

Honeywell International, Inc.

305,806

14,201,631

Innovative Solutions & Support, Inc. (a)(d)

23,580

492,586

Irvine Sensors Corp. (a)

430

611

K&F Industries Holdings, Inc. (a)

18,764

461,407

L-3 Communications Holdings, Inc.

48,432

4,218,427

Ladish Co., Inc. (a)

5,776

241,437

Shares

Value

Lockheed Martin Corp.

133,721

$ 13,008,379

Moog, Inc. Class A (a)

18,911

720,698

MTC Technologies, Inc. (a)

2,985

63,013

Northrop Grumman Corp.

125,537

9,019,833

Orbital Sciences Corp. (a)

33,015

653,367

Precision Castparts Corp.

51,973

4,727,984

Raytheon Co.

175,668

9,407,021

Rockwell Collins, Inc.

65,422

4,283,833

Spirit AeroSystems Holdings, Inc. Class A

25,869

763,394

Stanley, Inc.

649

9,787

Sypris Solutions, Inc.

3,224

19,634

Taser International, Inc. (a)(d)

14,214

112,859

Teledyne Technologies, Inc. (a)

9,982

379,815

The Boeing Co.

286,238

24,979,990

Triumph Group, Inc.

6,096

326,807

United Industrial Corp.

3,821

206,143

United Technologies Corp.

380,573

24,977,006

134,274,332

Air Freight & Logistics - 0.6%

ABX Air, Inc. (a)

17,036

126,918

Atlas Air Worldwide Holdings, Inc. (a)

5,919

289,143

C.H. Robinson Worldwide, Inc.

69,909

3,562,563

Dynamex, Inc. (a)

4,777

114,457

EGL, Inc. (a)

12,029

423,541

Expeditors International of Washington, Inc.

82,185

3,685,997

FedEx Corp.

117,387

13,403,248

Forward Air Corp.

10,568

344,728

Hub Group, Inc. Class A

17,492

553,972

Pacer International, Inc.

12,582

340,091

United Parcel Service, Inc. Class B

252,596

17,729,713

UTI Worldwide, Inc.

33,736

1,016,803

41,591,174

Airlines - 0.2%

AirTran Holdings, Inc. (a)(d)

26,672

277,922

Alaska Air Group, Inc. (a)

13,794

565,554

AMR Corp. (a)(d)

76,504

2,608,021

Continental Airlines, Inc. Class B (a)(d)

41,846

1,657,102

ExpressJet Holdings, Inc. Class A (a)

42,661

308,439

Frontier Airlines Holdings, Inc. (a)(d)

6,844

45,923

Great Lakes Aviation Ltd. (a)

200

480

JetBlue Airways Corp. (a)(d)

57,484

707,628

MAIR Holdings, Inc. (a)

6,324

43,003

Mesa Air Group, Inc. (a)

12,128

92,294

Midwest Air Group, Inc. (a)

400

5,200

Pinnacle Airlines Corp. (a)

11,846

212,636

Republic Airways Holdings, Inc. (a)

14,499

287,370

SkyWest, Inc. (d)

24,270

620,099

Southwest Airlines Co.

330,356

4,998,286

UAL Corp. (a)(d)

40,037

1,601,080

US Airways Group, Inc. (a)

26,575

1,389,607

15,420,644

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Building Products - 0.2%

Aaon, Inc.

2,681

$ 74,451

American Standard Companies, Inc.

66,034

3,499,142

American Woodmark Corp.

8,120

322,689

Ameron International Corp.

7,610

562,227

Apogee Enterprises, Inc.

7,704

161,630

Armstrong World Industries, Inc. (a)

10,073

504,959

Builders FirstSource, Inc. (a)

7,165

129,113

ElkCorp

10,752

465,669

Goodman Global, Inc.

6,730

127,870

Griffon Corp. (a)

6,305

148,104

International Smart Sourcing, Inc. (a)

2,500

355

Lennox International, Inc.

22,427

769,695

Masco Corp.

156,520

4,672,122

NCI Building Systems, Inc. (a)

8,960

500,326

Owens Corning (a)(d)

28,900

925,089

Patrick Industries, Inc. (a)

600

6,720

PW Eagle, Inc.

836

27,772

Quixote Corp.

700

14,308

Simpson Manufacturing Co. Ltd. (d)

12,202

405,350

Trex Co., Inc. (a)(d)

1,672

40,830

Universal Forest Products, Inc.

10,472

542,764

USG Corp. (d)

31,765

1,721,345

15,622,530

Commercial Services & Supplies - 1.1%

Ablest, Inc. (a)

1,000

7,350

ABM Industries, Inc.

37,140

977,153

ACCO Brands Corp. (a)

12,647

275,452

Adesa, Inc.

33,324

916,410

Administaff, Inc.

13,010

461,725

Advisory Board Co. (a)

12,085

628,541

Allied Waste Industries, Inc.

116,091

1,488,287

American Ecology Corp.

4,777

90,046

American Reprographics Co. (a)

18,051

597,669

Angelica Corp.

2,508

68,945

APAC Customer Services, Inc. (a)

4,300

20,597

Avery Dennison Corp.

33,598

2,232,923

Barrett Business Services, Inc.

2,508

61,120

Bowne & Co., Inc.

6,217

96,550

Brady Corp. Class A

15,414

504,654

Casella Waste Systems, Inc. Class A (a)

27,789

328,188

CBIZ, Inc. (a)

9,995

68,166

CDI Corp.

7,155

190,752

Central Parking Corp.

7,395

164,095

Cenveo, Inc. (a)

19,834

437,538

ChoicePoint, Inc. (a)

28,188

1,095,949

Cintas Corp.

55,001

2,220,940

Clean Harbors, Inc. (a)

7,762

392,059

Comsys IT Partners, Inc. (a)

36

716

Consolidated Graphics, Inc. (a)

3,224

229,742

Copart, Inc. (a)

29,352

864,416

Cornell Companies, Inc. (a)

1,672

34,309

Shares

Value

Corporate Executive Board Co.

16,125

$ 1,254,686

Corrections Corp. of America (a)

24,498

1,282,715

CoStar Group, Inc. (a)

5,458

255,816

Covanta Holding Corp. (a)

33,493

761,631

CRA International, Inc. (a)

9,397

486,671

Deluxe Corp.

16,381

505,681

Diamond Management & Technology Consultants, Inc.

6,807

102,718

Dun & Bradstreet Corp.

21,618

1,908,437

Ennis, Inc.

4,422

114,088

Equifax, Inc.

49,228

1,906,108

First Consulting Group, Inc. (a)

5,881

71,042

FTI Consulting, Inc. (a)

17,622

591,571

Fuel Tech, Inc. (a)

12,102

307,391

G&K Services, Inc. Class A

4,538

170,583

GeoEye, Inc. (a)

16,127

292,383

GP Strategies Corp. (a)

1,600

14,336

Healthcare Services Group, Inc.

4,568

128,087

Heidrick & Struggles International, Inc. (a)

9,033

413,982

Herman Miller, Inc.

26,976

1,037,767

HNI Corp.

13,525

676,250

Hudson Highland Group, Inc. (a)

6,919

112,641

Huron Consulting Group, Inc. (a)

19,198

1,217,153

ICT Group, Inc. (a)

4,570

123,664

IHS, Inc. Class A (a)

11,384

427,469

IKON Office Solutions, Inc.

57,292

800,942

Innerworkings, Inc.

33,190

449,725

Innotrac Corp. (a)

1,400

2,968

Integrated Alarm Services Group, Inc. (a)(d)

3,200

12,384

Interface, Inc. Class A (a)

11,703

185,141

Intersections, Inc. (a)

8,825

101,576

John H. Harland Co.

12,600

636,300

Kelly Services, Inc. Class A (non-vtg.)

6,364

195,820

Kenexa Corp. (a)

14,889

501,610

Kforce, Inc. (a)

30,240

411,264

Knoll, Inc.

22,702

525,551

Korn/Ferry International (a)

16,218

374,311

Labor Ready, Inc. (a)

15,670

287,858

Layne Christensen Co. (a)

17,263

553,107

Learning Tree International, Inc. (a)

3,821

42,910

LECG Corp. (a)

11,382

152,974

M&F Worldwide Corp. (a)

500

19,375

Manpower, Inc.

32,626

2,424,112

McGrath RentCorp.

5,971

177,757

Mine Safety Appliances Co.

7,523

305,810

Mobile Mini, Inc.

17,086

460,126

Monster Worldwide, Inc. (a)

44,885

2,237,966

Navigant Consulting, Inc. (a)

28,834

558,515

On Assignment, Inc. (a)

5,613

68,815

PeopleSupport, Inc. (a)

8,359

176,876

PHH Corp. (a)

23,803

673,387

Pitney Bowes, Inc.

89,590

4,274,339

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Commercial Services & Supplies - continued

Protection One, Inc. (d)

91

$ 1,638

R.R. Donnelley & Sons Co.

87,968

3,182,682

RCM Technologies, Inc. (a)

1,400

9,506

Republic Services, Inc.

39,457

1,659,956

Resources Connection, Inc. (a)

18,025

583,289

Robert Half International, Inc.

67,000

2,617,690

Rollins, Inc.

20,133

463,059

SAIC, Inc.

42,860

772,766

Schawk, Inc. Class A

4,896

85,925

School Specialty, Inc. (a)

6,351

236,956

Sirva, Inc. (a)

5,080

18,644

Spherion Corp. (a)

12,430

110,254

Spherix, Inc. (a)

2,713

5,019

Standard Register Co.

7,404

97,066

Steelcase, Inc. Class A

18,779

364,688

Stericycle, Inc. (a)

14,896

1,159,058

Synagro Technologies, Inc.

127,360

727,226

TeamStaff, Inc. (a)

1,300

1,495

Teletech Holdings, Inc. (a)

10,211

321,442

Tetra Tech, Inc. (a)

27,267

486,171

The Brink's Co.

15,474

916,525

The Geo Group, Inc. (a)

7,165

335,250

TRC Companies, Inc. (a)

3,582

36,250

TRM Corp. (a)(d)

1,400

4,102

United Stationers, Inc. (a)

8,883

488,565

Viad Corp.

5,252

195,795

Volt Information Sciences, Inc.

2,508

85,749

Waste Connections, Inc.

16,759

741,083

Waste Management, Inc.

204,423

6,960,603

Watson Wyatt Worldwide, Inc. Class A

20,550

987,839

68,884,972

Construction & Engineering - 0.2%

Comfort Systems USA, Inc.

22,487

306,048

EMCOR Group, Inc. (a)

11,643

699,279

Fluor Corp.

34,398

2,905,599

Foster Wheeler Ltd. (a)

28,616

1,581,892

Granite Construction, Inc.

13,217

771,608

Infrasource Services, Inc. (a)

18,537

454,527

Insituform Technologies, Inc. Class A (a)

21,456

543,695

Integrated Electrical Services, Inc. (a)

13,972

327,643

Jacobs Engineering Group, Inc. (a)

23,003

2,078,091

KBR, Inc. (d)

15,182

345,087

Perini Corp. (a)

13,944

506,028

Quanta Services, Inc. (a)

44,730

1,037,289

Shaw Group, Inc. (a)

31,030

955,103

URS Corp. (a)

26,493

1,101,314

Washington Group International, Inc. (a)

14,800

867,576

14,480,779

Shares

Value

Electrical Equipment - 0.6%

A.O. Smith Corp.

4,993

$ 193,079

Active Power, Inc. (a)

10,509

21,859

Acuity Brands, Inc.

16,374

907,120

American Superconductor Corp. (a)(d)

45,910

617,030

AMETEK, Inc.

41,532

1,420,394

AZZ, Inc. (a)

1,433

58,037

Baldor Electric Co.

11,896

433,014

Beacon Power Corp. (a)

362

329

Belden CDT, Inc.

19,397

899,439

C&D Technologies, Inc.

5,300

29,521

Capstone Turbine Corp. (a)

15,524

13,661

Channell Commercial Corp. (a)

800

2,776

Chase Corp.

500

14,775

Cooper Industries Ltd. Class A

36,546

3,352,730

Distributed Energy Systems Corp. (a)(d)

2,200

6,666

Emerson Electric Co.

333,689

14,378,659

Encore Wire Corp. (d)

8,240

213,910

Energy Conversion Devices, Inc. (a)(d)

11,231

338,053

EnerSys (a)

19,892

341,148

Espey Manufacturing & Electronics Corp.

1,488

27,082

Evergreen Solar, Inc. (a)(d)

43,826

433,877

Fiberstars, Inc. (a)

3,941

31,134

First Solar, Inc.

11,506

549,412

Franklin Electric Co., Inc.

6,926

335,634

FuelCell Energy, Inc. (d)

19,175

132,308

General Cable Corp.

19,154

956,742

Genlyte Group, Inc. (a)

12,658

878,339

GrafTech International Ltd. (a)

63,785

503,902

Hubbell, Inc. Class B

23,791

1,149,105

II-VI, Inc. (a)

14,172

438,198

Lamson & Sessions Co. (a)

2,747

82,767

LSI Industries, Inc.

12,688

209,479

MagneTek, Inc. (a)

3,582

18,770

Medis Technologies Ltd. (a)(d)

4,420

75,936

Merrimac Industries, Inc. (a)

500

4,510

Microvision, Inc. (a)(d)

3,976

13,598

Millennium Cell, Inc. (a)

300

300

Misonix, Inc. (a)

3,000

16,350

Nortech Systems, Inc. (a)

1,634

12,680

Peco II, Inc. (a)

1,400

1,330

Plug Power, Inc. (a)(d)

25,662

89,304

Powell Industries, Inc. (a)

3,702

111,652

Power-One, Inc. (a)

23,022

141,816

Regal-Beloit Corp.

18,753

848,386

Rockwell Automation, Inc.

59,415

3,689,077

Roper Industries, Inc.

33,320

1,769,958

SL Industries, Inc. (a)

2,508

32,729

Superior Essex, Inc. (a)

22,525

716,520

Tech/Ops Sevcon, Inc.

2,508

16,929

Thomas & Betts Corp. (a)

20,087

1,020,821

Ultralife Batteries, Inc. (a)

600

5,400

UQM Technologies, Inc. (a)

3,800

17,480

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Electrical Equipment - continued

Valence Technology, Inc. (a)(d)

12,072

$ 20,885

Valpey Fisher Corp. (a)

2,100

7,938

Vicor Corp.

5,067

47,326

Woodward Governor Co.

18,223

759,170

38,409,044

Industrial Conglomerates - 3.0%

3M Co.

274,116

20,306,513

Carlisle Companies, Inc.

10,329

900,069

General Electric Co.

4,189,414

146,294,337

McDermott International, Inc. (a)

43,776

2,110,003

Raven Industries, Inc.

5,617

162,387

Sequa Corp. Class A

4,149

508,667

Standex International Corp.

6,568

184,955

Teleflex, Inc.

10,990

735,451

Textron, Inc.

42,690

3,939,860

Tredegar Corp.

5,288

117,975

Tyco International Ltd.

815,911

25,154,536

Walter Industries, Inc.

17,984

448,341

200,863,094

Machinery - 1.8%

3D Systems Corp. (a)(d)

2,508

45,520

A.S.V., Inc. (a)(d)

7,950

124,020

Actuant Corp. Class A

13,509

705,170

AGCO Corp. (a)

31,145

1,129,006

Alamo Group, Inc.

200

4,816

Albany International Corp. Class A

17,700

605,340

American Railcar Industries, Inc.

9,774

299,475

American Science & Engineering, Inc. (a)

4,657

238,252

Astec Industries, Inc. (a)

6,807

261,797

Axsys Technologies, Inc. (a)

1,433

24,332

Badger Meter, Inc.

7,471

220,469

Barnes Group, Inc.

30,587

683,008

Blount International, Inc. (a)

10,035

118,513

Briggs & Stratton Corp.

24,714

722,637

Bucyrus International, Inc. Class A

12,498

636,773

Cascade Corp.

6,065

343,704

Catalytica Energy Systems, Inc. (a)

7,900

14,378

Caterpillar, Inc.

262,600

16,916,692

Chart Industries, Inc.

625

10,619

Circor International, Inc.

868

29,911

CLARCOR, Inc.

14,648

453,942

Columbus McKinnon Corp. (NY Shares) (a)

8,038

186,482

Commercial Vehicle Group, Inc. (a)

19,815

384,213

Crane Co.

16,996

647,378

Cummins, Inc.

18,101

2,437,843

Danaher Corp.

100,290

7,184,776

Deere & Co.

93,757

10,165,134

Donaldson Co., Inc.

29,664

1,063,751

Dover Corp.

84,074

4,017,896

Shares

Value

Dynamic Materials Corp.

10,162

$ 317,766

Eaton Corp.

58,320

4,724,503

EnPro Industries, Inc. (a)

5,172

196,484

ESCO Technologies, Inc. (a)

14,886

648,881

Federal Signal Corp.

15,349

231,002

Flanders Corp. (a)

9,957

77,764

Flow International Corp. (a)

28,106

340,645

Flowserve Corp. (a)

22,960

1,192,083

Force Protection, Inc. (a)(d)

27,300

444,990

FreightCar America, Inc.

8,359

414,105

Gardner Denver, Inc. (a)

22,940

776,978

Gehl Co. (a)

10,898

276,373

Gorman-Rupp Co.

8,199

236,131

Graco, Inc.

24,037

973,739

Greenbrier Companies, Inc. (d)

4,470

127,440

Harsco Corp.

17,301

1,484,426

Hirsch International Corp. Class A (a)

900

2,250

IDEX Corp.

16,718

869,503

Illinois Tool Works, Inc.

203,018

10,496,031

Ingersoll-Rand Co. Ltd. Class A

120,510

5,219,288

ITT Corp.

73,033

4,325,014

Joy Global, Inc.

45,116

2,000,443

Kadant, Inc. (a)

4,460

104,542

Kaydon Corp.

19,607

850,356

Kennametal, Inc.

14,126

864,511

Lincoln Electric Holdings, Inc.

16,998

1,060,675

Lindsay Corp.

2,491

85,541

Manitowoc Co., Inc.

24,294

1,426,058

Middleby Corp. (a)

4,471

493,062

Milacron, Inc.

2,759

2,097

Miller Industries, Inc. (a)

360

8,154

Mueller Industries, Inc.

10,771

320,976

Mueller Water Products, Inc.:

Class A (d)

28,635

426,662

Class B

29,717

441,000

NACCO Industries, Inc. Class A

2,834

363,971

Navistar International Corp. (a)

35,103

1,423,427

Nordson Corp.

11,937

582,287

Omega Flex, Inc.

300

6,750

Oshkosh Truck Co.

30,183

1,619,318

PACCAR, Inc.

98,864

6,870,059

Pall Corp.

42,679

1,475,840

Parker Hannifin Corp.

44,383

3,656,715

Pentair, Inc.

40,336

1,259,290

RBC Bearings, Inc. (a)

25,395

828,639

Robbins & Myers, Inc.

3,154

123,542

SPX Corp.

25,658

1,793,494

Tecumseh Products Co. Class A (non-vtg.) (a)

21,767

370,474

Tennant Co.

7,549

232,358

Terex Corp.

36,625

2,411,390

Timken Co.

32,405

926,135

Titan International, Inc. (d)

15,739

384,661

Toro Co.

17,685

929,347

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Machinery - continued

Trinity Industries, Inc.

33,163

$ 1,387,872

Valmont Industries, Inc.

9,529

540,485

Wabash National Corp.

10,432

168,060

Wabtec Corp.

24,838

799,784

Watts Water Technologies, Inc. Class A

14,756

555,711

119,844,929

Marine - 0.1%

Alexander & Baldwin, Inc.

16,551

817,950

American Commercial Lines, Inc. (a)

16,002

578,152

Eagle Bulk Shipping, Inc.

38,563

771,260

Genco Shipping & Trading Ltd.

756

22,982

Horizon Lines, Inc. Class A

12,977

376,203

Kirby Corp. (a)

17,712

647,196

3,213,743

Road & Rail - 0.8%

AMERCO (a)

5,493

357,155

Arkansas Best Corp.

5,254

207,375

Avis Budget Group, Inc.

32,265

857,926

Burlington Northern Santa Fe Corp.

148,360

11,748,628

Celadon Group, Inc. (a)

4,374

78,338

Con-way, Inc.

18,026

885,077

Covenant Transport, Inc. Class A (a)

2,866

33,160

CSX Corp.

169,914

6,400,660

Dollar Thrifty Automotive Group, Inc. (a)

11,579

601,297

Florida East Coast Industries, Inc. Class A

7,969

484,914

Genesee & Wyoming, Inc. Class A (a)

14,177

368,035

Heartland Express, Inc.

15,969

263,648

Hertz Global Holdings, Inc.

47,954

1,019,502

J.B. Hunt Transport Services, Inc.

45,257

1,202,026

Kansas City Southern

33,820

1,083,593

Knight Transportation, Inc.

16,053

299,870

Laidlaw International, Inc.

26,632

910,282

Landstar System, Inc.

18,219

814,207

Marten Transport Ltd. (a)

5,037

84,068

Norfolk Southern Corp.

157,925

7,485,645

Old Dominion Freight Lines, Inc. (a)

16,944

527,128

Quality Distribution, Inc. (a)

633

5,444

Ryder System, Inc.

18,769

965,477

Saia, Inc. (a)

3,559

96,947

Swift Transportation Co., Inc.

18,287

563,057

U.S. Xpress Enterprises, Inc. Class A (a)

600

11,574

Union Pacific Corp.

108,082

10,660,128

Werner Enterprises, Inc.

20,088

387,297

YRC Worldwide, Inc. (a)

19,256

837,251

49,239,709

Trading Companies & Distributors - 0.2%

Aceto Corp.

5,986

49,983

Aircastle Ltd.

9,900

340,857

Applied Industrial Technologies, Inc.

16,649

399,410

Beacon Roofing Supply, Inc. (a)(d)

11,282

187,620

Shares

Value

BlueLinx Corp.

10,747

$ 127,030

Electro Rent Corp. (a)

2,627

39,957

Fastenal Co.

55,573

1,960,060

GATX Corp.

15,194

701,355

H&E Equipment Services, Inc.

6,730

177,739

Huttig Building Products, Inc. (a)

1,077

6,602

Interline Brands, Inc. (a)

22,560

477,370

Kaman Corp.

4,541

103,580

Lawson Products, Inc.

2,164

84,807

MSC Industrial Direct Co., Inc. Class A

16,354

705,512

NuCo2, Inc. (a)(d)

16,938

415,659

Rush Enterprises, Inc. Class A (a)

8,240

153,017

TAL International Group, Inc.

19,431

465,761

TransDigm Group, Inc.

10,887

347,295

UAP Holding Corp.

16,705

423,806

United Rentals, Inc. (a)

31,929

912,531

W.W. Grainger, Inc.

28,032

2,162,669

Watsco, Inc.

7,213

363,319

WESCO International, Inc. (a)

16,611

1,108,452

Williams Scotsman International, Inc. (a)

20,363

414,591

Willis Lease Finance Corp.

1,200

12,600

12,141,582

Transportation Infrastructure - 0.0%

Macquarie Infrastructure Co. Trust

7,252

279,202

TOTAL INDUSTRIALS

714,265,734

INFORMATION TECHNOLOGY - 14.5%

Communications Equipment - 2.3%

3Com Corp. (a)

125,291

484,876

ACE*COMM Corp. (a)

3,806

3,616

ADC Telecommunications, Inc. (a)

45,128

741,002

Adtran, Inc.

21,888

504,081

Alliance Fiber Optic Products, Inc. (a)

2,400

4,824

AltiGen Communications, Inc. (a)

3,200

5,120

Anaren, Inc. (a)

1,791

29,856

Andrew Corp. (a)

78,336

831,928

Applied Innovation, Inc. (a)

1,500

5,010

Arris Group, Inc. (a)

51,378

675,107

Avanex Corp. (a)(d)

34,921

65,302

Avaya, Inc. (a)

175,671

2,157,240

Avici Systems, Inc. (a)

2,866

25,135

Avocent Corp. (a)

18,745

596,653

Aware, Inc. (a)

7,998

43,909

Bel Fuse, Inc. Class B (non-vtg.)

8,180

260,042

Black Box Corp.

7,979

302,245

Blonder Tongue Laboratories, Inc. (a)

3,900

7,449

Blue Coat Systems, Inc. (a)(d)

3,560

115,095

Bookham, Inc. (a)

59,145

154,960

C-COR, Inc. (a)

12,758

174,147

Carrier Access Corp. (a)

3,702

18,325

Ciena Corp. (a)

36,348

1,143,872

Cisco Systems, Inc. (a)

2,442,673

63,362,938

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Communications Equipment - continued

Comarco, Inc. (a)

450

$ 3,605

CommScope, Inc. (a)

26,424

1,016,531

Communications Systems, Inc.

2,718

28,947

Comtech Telecommunications Corp. (a)

6,020

206,787

Corning, Inc. (a)

638,059

13,163,157

Digi International, Inc. (a)

5,248

70,166

Ditech Networks, Inc. (a)

8,447

65,464

Dycom Industries, Inc. (a)

10,536

263,400

EFJ, Inc. (a)

99

626

EMS Technologies, Inc. (a)

2,221

44,487

Entrada Networks, Inc. (a)

150

0

eOn Communications Corp. (a)

620

831

Extreme Networks, Inc. (a)

18,151

80,046

Ezenia!, Inc. (a)

200

440

F5 Networks, Inc. (a)

17,214

1,250,081

Finisar Corp. (a)(d)

146,618

467,711

Foundry Networks, Inc. (a)

59,479

868,393

Glenayre Technologies, Inc. (a)

8,598

22,527

Globecomm Systems, Inc. (a)

3,582

39,868

Harmonic, Inc. (a)

19,419

171,081

Harris Corp.

49,920

2,450,074

Harris Stratex Networks, Inc. (a)

2,134

43,534

Inter-Tel, Inc.

4,060

93,948

InterDigital Communication Corp. (a)

20,298

704,747

ION Networks, Inc. (a)

2,400

240

ISCO International, Inc. (a)

1,800

522

Ixia (a)

18,466

203,495

JDS Uniphase Corp. (a)

90,042

1,459,581

Juniper Networks, Inc. (a)

230,620

4,361,024

KVH Industries, Inc. (a)

1,838

18,454

Lantronix, Inc. (a)

500

780

Loral Space & Communications Ltd. (a)

7,589

353,268

MasTec, Inc. (a)

15,448

177,034

Motorola, Inc.

975,149

18,059,759

MRV Communications, Inc. (a)

19,074

71,909

NETGEAR, Inc. (a)

22,719

614,095

Network Engines, Inc. (a)

2,300

4,807

Network Equipment Technologies, Inc. (a)

4,299

34,005

Nextwave Wireless, Inc. (a)

16,900

196,716

NMS Communications Corp. (a)

2,800

5,236

NumereX Corp. Class A (a)

3,105

30,305

Occam Networks, Inc. (a)

85

1,153

Oplink Communications, Inc. (a)

2,767

45,628

Opnext, Inc.

11,814

199,066

Optelecom Nkf, Inc. (a)

529

5,179

Optical Cable Corp. (a)

656

3,451

Optical Cable Corp. warrants 10/24/07 (a)

762

857

Optical Communication Products, Inc. (a)

6,920

9,757

Packeteer, Inc. (a)

5,266

63,192

Parkervision, Inc. (a)(d)

900

9,819

Shares

Value

PC-Tel, Inc. (a)

2,627

$ 27,321

Pegasus Wireless Corp. warrants 8/11/08 (a)

1,700

22

Performance Technologies, Inc. (a)

3,463

17,834

Plantronics, Inc.

13,246

271,013

Polycom, Inc. (a)

37,725

1,203,428

Powerwave Technologies, Inc. (a)

39,478

210,023

QUALCOMM, Inc.

664,050

26,747,934

SafeNet, Inc. (a)

7,378

202,526

SCM Microsystems, Inc. (a)

600

2,412

SeaChange International, Inc. (a)

5,553

56,641

Sirenza Microdevices, Inc. (a)(d)

5,417

41,982

Sonus Networks, Inc. (a)

123,339

948,477

SpectraLink Corp. (a)

3,869

45,229

Stratos International, Inc. (a)

1,058

7,882

Sycamore Networks, Inc. (a)

48,461

185,606

Symmetricom, Inc. (a)

9,258

78,323

Tekelec (a)(d)

37,811

471,125

Tellabs, Inc. (a)

155,344

1,628,005

Telular Corp. (a)

2,100

7,350

Terabeam, Inc. (a)

610

1,360

ThinkEngine Networks, Inc. (a)

2,400

6,960

Tollgrade Communications, Inc. (a)

2,548

30,551

Tut Systems, Inc. (a)

1,301

1,483

UTStarcom, Inc. (a)(d)

75,765

700,069

Veramark Technologies, Inc. (a)

2,300

2,369

ViaSat, Inc. (a)

15,135

517,012

Vyyo, Inc. (a)(d)

1,133

4,872

Wave Wireless Corp. (a)

36

0

Wegener Corp. (a)

3,500

3,850

Westell Technologies, Inc. Class A (a)

4,212

9,814

Wi-Tron, Inc. (a)

3,300

132

WJ Communications, Inc. (a)

3,700

5,513

Zhone Technologies, Inc. (a)

34,590

40,124

152,175,757

Computers & Peripherals - 3.0%

ActivIdentity Corp. (a)

55,312

288,176

Adaptec, Inc. (a)

86,311

315,035

Apple, Inc. (a)

339,271

28,705,719

Astro-Med, Inc.

5,359

58,038

Avid Technology, Inc. (a)(d)

17,053

569,570

Brocade Communications Systems, Inc. (a)

184,581

1,663,075

Concurrent Computer Corp. (a)

11,487

18,149

Cray, Inc. (a)

2,805

37,503

Datalink Corp. (a)

2,627

23,131

Dataram Corp.

3,881

17,465

Dell, Inc. (a)

807,504

18,451,466

Diebold, Inc.

21,091

999,081

Dot Hill Systems Corp. (a)

5,816

20,182

Electronics for Imaging, Inc. (a)

26,182

597,473

EMC Corp. (a)

903,834

12,608,484

Emulex Corp. (a)

30,000

537,000

FOCUS Enhancements, Inc. (a)

5,500

7,425

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Computers & Peripherals - continued

Gateway, Inc. (a)

77,821

$ 161,089

Hauppauge Digital, Inc. (a)

500

3,505

Hewlett-Packard Co.

1,099,292

43,290,119

Hutchinson Technology, Inc. (a)(d)

11,789

266,667

Hypercom Corp. (a)

9,287

52,657

Imation Corp.

16,714

695,470

InFocus Corp. (a)

6,448

17,603

Innovex, Inc. (a)

1,500

2,850

Intermec, Inc. (a)(d)

17,037

381,629

International Business Machines Corp.

603,805

56,159,903

Interphase Corp. (a)

2,276

25,673

Iomega Corp. (a)

8,216

27,770

Komag, Inc. (a)

11,671

396,697

LaserCard Corp. (a)(d)

2,369

29,826

Lexmark International, Inc. Class A (a)

35,662

2,159,691

MidgardXXI, Inc. (a)

10

0

Mobility Electronics, Inc. (a)(d)

6,906

22,514

MTI Technology Corp. (a)

3,200

2,880

NCR Corp. (a)

68,932

3,184,658

Neoware, Inc. (a)

2,315

27,271

Network Appliance, Inc. (a)

155,997

6,032,404

Novatel Wireless, Inc. (a)

7,031

92,880

Overland Storage, Inc. (a)

2,079

8,524

Palm, Inc. (d)

28,082

464,757

Presstek, Inc. (a)(d)

8,481

49,868

QLogic Corp.

64,738

1,138,741

Quantum Corp. (a)

145,293

358,874

Rackable Systems, Inc. (a)

10,523

183,205

Rimage Corp. (a)

7,000

198,240

SanDisk Corp. (a)(d)

92,331

3,362,695

Scan-Optics, Inc. (a)

300

0

Seagate Technology

238,163

6,406,585

SimpleTech, Inc. (a)(d)

9,195

79,261

Socket Communications, Inc. (a)

3,300

3,366

Stratasys, Inc. (a)(d)

1,800

66,024

Sun Microsystems, Inc. (a)

1,424,355

8,731,296

Synaptics, Inc. (a)

5,137

126,062

Video Display Corp. (a)

3,439

24,623

ViewCast.com, Inc. (a)

13,700

5,754

Western Digital Corp. (a)

90,995

1,744,374

200,902,977

Electronic Equipment & Instruments - 0.6%

Acacia Research Corp. - Acacia Technologies (a)

35,320

487,769

Advanced Photonix, Inc. Class A (a)(d)

5,286

10,836

Aeroflex, Inc. (a)

42,525

486,061

Aetrium, Inc. (a)

2,400

9,144

Agilent Technologies, Inc. (a)

161,686

5,128,680

Agilysys, Inc.

6,807

142,947

Allied Motion Technologies, Inc. (a)

4,896

29,376

American Technical Ceramics Corp. (a)

2,269

31,630

Shares

Value

American Technology Corp. (a)

900

$ 3,339

Amphenol Corp. Class A

32,839

2,119,429

Anixter International, Inc. (a)(d)

9,766

605,492

APA Enterprises, Inc. (a)

2,800

3,668

Arrow Electronics, Inc. (a)

42,526

1,629,596

Avnet, Inc. (a)

57,858

2,115,867

AVX Corp.

12,178

186,080

Axcess, Inc. (a)

1,600

2,336

Bell Industries, Inc. (a)

8,598

40,411

Bell Microproducts, Inc. (a)

4,156

28,469

Benchmark Electronics, Inc. (a)

28,779

618,173

Brightpoint, Inc. (a)

11,194

135,112

Broadcast International, Inc. (a)

270

297

CalAmp Corp. (a)

3,621

32,191

Cash Technologies, Inc. (a)

3,400

3,570

CDW Corp.

23,802

1,477,628

Checkpoint Systems, Inc. (a)

15,045

294,280

Chyron Corp. (a)

1,500

1,710

Cogent, Inc. (a)(d)

7,631

86,154

Cognex Corp.

12,621

276,779

Coherent, Inc. (a)

15,649

470,409

Color Kinetics, Inc. (a)(d)

14,745

269,834

CTS Corp.

6,333

85,812

CyberOptics Corp. (a)

850

11,645

Daktronics, Inc.

18,380

490,195

Dolby Laboratories, Inc. Class A (a)

18,157

581,024

DTS, Inc. (a)

18,993

459,441

Echelon Corp. (a)(d)

5,229

49,623

Electro Scientific Industries, Inc. (a)

25,174

541,744

En Pointe Technologies, Inc. (a)

1,400

4,928

Excel Technology, Inc. (a)

12,952

345,948

FARO Technologies, Inc. (a)

4,416

119,188

FLIR Systems, Inc. (a)

29,078

1,010,751

Frequency Electronics, Inc.

500

5,625

Gerber Scientific, Inc. (a)

4,538

47,831

Giga-Tronics, Inc. (a)

3,000

6,000

Global Imaging Systems, Inc. (a)

35,951

721,537

GTSI Corp. (a)

2,376

24,211

IEC Electronics Corp. (a)

100

150

Ingram Micro, Inc. Class A (a)

61,627

1,197,413

InPlay Technologies, Inc. (a)

1,500

2,775

Insight Enterprises, Inc. (a)

30,442

588,139

Iteris, Inc. (a)

1,200

3,144

Itron, Inc. (a)(d)

11,691

755,472

Jabil Circuit, Inc.

79,544

2,125,416

Jaco Electronics, Inc. (a)

1,950

7,371

Keithley Instruments, Inc.

1,433

21,710

KEMET Corp. (a)

62,217

485,293

L-1 Identity Solutions, Inc. (d)

38,528

612,210

LeCroy Corp. (a)

2,030

18,453

LightPath Technologies, Inc. Class A (a)

437

2,259

Littelfuse, Inc. (a)

19,009

700,101

LoJack Corp. (a)

4,299

81,853

Maxwell Technologies, Inc. (a)(d)

1,314

18,146

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Electronic Equipment & Instruments - continued

MDI, Inc. (a)

3,700

$ 2,997

Measurement Specialties, Inc. (a)

3,947

91,018

Mechanical Technology, Inc. (a)

4,800

7,728

Mercury Computer Systems, Inc. (a)

3,844

48,896

Merix Corp. (a)

1,450

13,007

Mesa Laboratories, Inc.

2,540

50,470

Methode Electronics, Inc. Class A

6,210

67,130

Mettler-Toledo International, Inc. (a)

17,105

1,477,188

Micronetics, Inc. (a)

1,137

8,300

MOCON, Inc.

2,570

34,695

Molex, Inc.

53,490

1,568,862

MTS Systems Corp.

4,180

157,920

Multi-Fineline Electronix, Inc. (a)

2,695

49,615

National Instruments Corp.

25,922

695,487

Newport Corp. (a)

27,067

483,417

NU Horizons Electronics Corp. (a)

4,122

40,725

OSI Systems, Inc. (a)(d)

2,566

64,150

OYO Geospace Corp. (a)

1,552

105,489

Park Electrochemical Corp.

3,439

96,154

Paxar Corp. (a)

7,601

175,051

PC Connection, Inc. (a)(d)

2,687

44,282

Photon Dynamics, Inc. (a)

2,665

31,447

Planar Systems, Inc. (a)

2,649

23,682

Plexus Corp. (a)

15,464

253,610

RadiSys Corp. (a)

4,060

63,823

Research Frontiers, Inc. (a)(d)

2,000

18,680

Richardson Electronics Ltd.

2,923

26,921

Rofin-Sinar Technologies, Inc. (a)

9,989

600,738

Rogers Corp. (a)

6,618

320,377

Sanmina-SCI Corp. (a)

234,908

871,509

Satcon Technology Corp. (a)(d)

1,200

1,788

ScanSource, Inc.

12,961

358,501

Smart Modular Tech WWH, Inc.

9,803

106,363

Solectron Corp. (a)

375,880

1,210,334

Spectrum Control, Inc. (a)

1,791

18,985

Staktek Holdings, Inc. (a)

558

2,271

StockerYale, Inc. (a)

1,200

1,860

Sunpower Corp. Class A (a)(d)

17,443

755,282

Super Vision International, Inc. Class A (a)

2,100

8,631

SYNNEX Corp. (a)

6,678

126,214

Tech Data Corp. (a)

23,430

873,470

Technitrol, Inc.

21,812

479,646

Tektronix, Inc.

35,693

1,021,177

Trimble Navigation Ltd. (a)

39,036

1,032,893

TTM Technologies, Inc. (a)

8,779

99,554

Universal Display Corp. (a)(d)

2,866

37,315

Vishay Intertechnology, Inc. (a)

57,778

823,337

X-Rite, Inc.

3,224

38,075

Shares

Value

Zones, Inc. (a)

4,777

$ 45,811

Zygo Corp. (a)

1,433

22,914

42,410,464

Internet Software & Services - 1.4%

24/7 Real Media, Inc. (a)

33,567

323,586

Akamai Technologies, Inc. (a)(d)

63,697

3,284,854

aQuantive, Inc. (a)(d)

26,398

668,925

Ariba, Inc. (a)

18,248

169,889

Art Technology Group, Inc. (a)

14,909

32,353

Autobytel, Inc. (a)

6,680

26,052

Bankrate, Inc. (a)(d)

3,680

149,371

Chordiant Software, Inc. (a)

6,787

62,101

CMGI, Inc. (a)

112,423

173,131

CNET Networks, Inc. (a)

69,923

613,924

Communication Intelligence Corp. (a)

3,800

1,083

Corillian Corp. (a)

2,171

10,855

CyberSource Corp. (a)

3,344

40,864

DealerTrack Holdings, Inc. (a)

17,942

519,421

deltathree, Inc. (a)

500

790

Digital River, Inc. (a)

15,878

879,482

DSL.net, Inc. (a)

1,895

23

EarthLink, Inc. (a)

39,703

282,685

eBay, Inc. (a)

426,046

13,659,035

eCollege.com (a)(d)

12,580

218,640

eGain Communications Corp. (a)

500

575

Elcom International, Inc. (a)

2,200

198

Entrust, Inc. (a)

9,434

40,849

Equinix, Inc. (a)(d)

10,569

873,739

Google, Inc. Class A (sub. vtg.) (a)

89,631

40,284,653

Greenfield Online, Inc. (a)

3,702

55,197

I-Many, Inc. (a)

5,700

10,659

iBasis, Inc. (a)

13,800

139,380

InfoSpace, Inc. (a)

22,445

511,746

Innodata Isogen, Inc. (a)

10,986

28,014

Internap Network Services Corp. (a)

9,958

187,410

Internet America, Inc. (a)

4,200

1,134

Internet Capital Group, Inc. (a)

38,165

436,608

Internet Commerce Corp. Class A (a)

600

1,500

Interwoven, Inc. (a)

7,104

108,123

iPass, Inc. (a)(d)

26,101

133,115

j2 Global Communications, Inc. (a)

12,515

300,861

Jupiter Media Metrix, Inc. (a)

4,711

0

Jupitermedia Corp. (a)

1,200

10,272

Keynote Systems, Inc. (a)

20,911

274,143

LookSmart Ltd. (a)

2,241

9,704

LoopNet, Inc.

612

10,263

LQ Corp., Inc. (a)

574

689

Marchex, Inc. Class B (d)

7,407

99,846

MIVA, Inc. (a)

3,079

12,870

NaviSite, Inc. (a)

344

2,233

NetRatings, Inc. (a)

3,911

81,075

NIC, Inc.

5,017

26,540

Omniture, Inc. (d)

22,045

342,800

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Internet Software & Services - continued

On2.Com, Inc. (a)(d)

22,666

$ 26,746

Onstream Media Corp. (a)

206

618

Openwave Systems, Inc. (a)(d)

28,230

230,357

Optio Software, Inc. (a)

3,000

4,920

Prescient Applied Intel, Inc. (a)

120

12

RealNetworks, Inc. (a)

49,719

405,707

S1 Corp. (a)

8,338

43,191

Saba Software, Inc. (a)

3,088

22,419

SAVVIS, Inc. (a)

8,287

356,092

Selectica, Inc. (a)

6,434

12,482

SonicWALL, Inc. (a)

15,630

136,294

Supportsoft, Inc. (a)

12,011

71,225

Switch & Data Facilities Co., Inc.

3,400

66,232

Terremark Worldwide, Inc. (a)(d)

7,893

62,670

The Knot, Inc. (a)(d)

15,066

356,160

The Sedona Corp. (a)

6,100

1,037

TheStreet.com, Inc.

4,299

47,934

Tumbleweed Communications Corp. (a)

1,858

6,484

United Online, Inc.

21,373

281,055

ValueClick, Inc. (a)

51,354

1,360,881

VeriSign, Inc. (a)

100,851

2,551,530

Vignette Corp. (a)

23,657

422,041

Vitria Technology, Inc. (a)

2,487

6,864

Web.com, Inc. (a)

1,108

5,762

WebEx Communications, Inc. (a)

21,597

937,958

webMethods, Inc. (a)

51,138

347,227

Websense, Inc. (a)

27,212

619,345

WebSideStory, Inc. (a)(d)

23,973

304,457

WorldGate Communications, Inc. (a)

1,300

1,469

Yahoo!, Inc. (a)

518,657

16,005,755

Zix Corp. (a)

10,905

18,539

89,814,723

IT Services - 1.4%

Accenture Ltd. Class A

215,115

7,679,606

Acxiom Corp.

20,424

436,257

Affiliated Computer Services, Inc. Class A (a)

41,380

2,150,519

Affinity Technology Group, Inc. (a)

10,600

1,590

Alliance Data Systems Corp. (a)

26,541

1,585,825

Answerthink, Inc. (a)

2,704

8,734

Applied Digital Solutions, Inc. (a)

2,397

3,883

Automatic Data Processing, Inc.

219,591

10,933,436

BearingPoint, Inc. (a)

87,831

702,648

CACI International, Inc. Class A (a)

8,733

406,085

Carreker Corp. (a)

5,410

43,172

Ceridian Corp. (a)

51,620

1,683,844

CheckFree Corp. (a)

30,738

1,165,585

Ciber, Inc. (a)

8,945

62,883

Cognizant Technology Solutions Corp. Class A (a)

56,538

5,099,728

Shares

Value

Computer Horizons Corp. (a)

6,329

$ 29,556

Computer Sciences Corp. (a)

69,464

3,676,730

Convergys Corp. (a)

56,164

1,444,538

Covansys Corp. (a)

1,499

36,965

CSG Systems International, Inc. (a)

20,682

510,018

CSP, Inc. (a)

4,299

38,691

Direct Insite Corp. (a)

40

42

DST Systems, Inc. (a)

18,616

1,310,939

Edgewater Technology, Inc. (a)

3,344

26,016

eFunds Corp. (a)

13,981

351,063

Electronic Data Systems Corp.

198,171

5,552,751

eLoyalty Corp.

5,011

102,074

ePresence, Inc.

600

0

Euronet Worldwide, Inc. (a)(d)

13,770

376,334

Fidelity National Information
Services, Inc.

109,357

5,024,954

First Data Corp.

315,594

8,057,115

Fiserv, Inc. (a)

63,833

3,380,596

Forrester Research, Inc. (a)

9,538

255,905

Gartner, Inc. Class A (a)

26,398

558,582

Gevity HR, Inc.

5,103

101,652

Global Cash Access Holdings, Inc. (a)

20,102

309,169

Global Payments, Inc.

31,439

1,209,458

Heartland Payment Systems, Inc. (d)

15,286

380,927

Hewitt Associates, Inc. Class A (a)

48,424

1,453,688

iGate Corp. (a)

5,233

35,427

Infocrossing, Inc. (a)(d)

15,112

236,201

Inforte Corp. (a)

640

2,253

infoUSA, Inc.

16,201

166,384

Integral Systems, Inc.

4,431

109,756

Iron Mountain, Inc. (a)

70,412

1,960,974

Keane, Inc. (a)

10,380

142,414

Lightbridge, Inc. (a)

4,958

80,022

Lionbridge Technologies, Inc. (a)

21,896

117,582

ManTech International Corp. Class A (a)

8,762

301,851

Mastercard, Inc. Class A

23,623

2,531,913

Maximus, Inc.

17,751

535,015

MoneyGram International, Inc.

38,044

1,143,603

MPS Group, Inc. (a)

30,809

441,185

New Century Equity Holdings Corp.

1,200

324

Paychex, Inc.

131,216

5,331,306

Perot Systems Corp. Class A (a)

26,837

451,398

PFSweb, Inc. (a)

9,924

9,828

RightNow Technologies, Inc. (a)

665

11,086

Sabre Holdings Corp. Class A

49,260

1,592,576

Safeguard Scientifics, Inc. (a)

143,814

406,994

Sapient Corp. (a)

39,014

243,447

SI International, Inc. (a)

2,710

75,934

SM&A (a)

4,601

33,173

SRA International, Inc. Class A (a)

17,782

421,433

StarTek, Inc.

2,269

23,212

Storage Engine, Inc. (a)

434

4

Sykes Enterprises, Inc. (a)

7,284

116,835

Syntel, Inc.

6,687

239,930

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

IT Services - continued

TALX Corp.

17,808

$ 606,006

Technology Solutions Co. (a)

455

3,599

The BISYS Group, Inc. (a)

51,744

679,916

The Management Network Group, Inc. (a)

1,200

2,292

The Western Union Co.

302,193

6,548,522

TNS, Inc. (a)

21,195

355,652

Total System Services, Inc. (d)

22,550

704,011

TSR, Inc.

100

426

Tyler Technologies, Inc. (a)

7,594

103,506

Unisys Corp. (a)

131,891

1,119,755

VeriFone Holdings, Inc. (a)

19,607

765,653

Wright Express Corp. (a)

23,382

665,919

94,468,875

Office Electronics - 0.1%

Xerox Corp.

389,243

6,722,227

Zebra Technologies Corp. Class A (a)

31,763

1,258,132

7,980,359

Semiconductors & Semiconductor Equipment - 2.6%

8X8, Inc. (a)

1,000

1,420

Actel Corp. (a)

4,572

76,535

Advanced Analogic Technologies, Inc. (a)

28,971

188,022

Advanced Energy Industries, Inc. (a)

21,532

433,654

Advanced Micro Devices, Inc. (a)(d)

214,617

3,232,132

AEHR Test Systems (a)

3,637

21,495

Agere Systems, Inc. (a)

67,254

1,473,535

Altera Corp. (a)

143,080

3,020,419

AMIS Holdings, Inc. (a)

47,864

542,299

Amkor Technology, Inc. (a)

33,706

388,630

Amtech Systems, Inc. (a)

4,180

29,427

ANADIGICS, Inc. (a)(d)

46,131

563,260

Analog Devices, Inc.

156,064

5,657,320

Applied Materials, Inc.

549,670

10,207,372

Applied Micro Circuits Corp. (a)

178,361

690,257

Asyst Technologies, Inc. (a)

6,605

46,631

Atheros Communications, Inc. (a)

20,760

524,605

Atmel Corp. (a)

159,639

884,400

ATMI, Inc. (a)

20,924

695,514

Axcelis Technologies, Inc. (a)

26,723

194,543

AXT, Inc. (a)

6,090

29,902

Broadcom Corp. Class A (a)

173,918

5,928,865

Brooks Automation, Inc. (a)

54,086

839,956

Cabot Microelectronics Corp. (a)

8,009

262,135

California Micro Devices Corp. (a)

1,400

7,168

Centillium Communications, Inc. (a)

3,503

6,796

Ceva, Inc. (a)

3,705

26,787

Cirrus Logic, Inc. (a)

72,913

632,156

Cohu, Inc.

4,269

79,574

Conexant Systems, Inc. (a)

158,040

314,500

Credence Systems Corp. (a)

36,936

167,689

Shares

Value

Cree, Inc. (a)(d)

26,760

$ 470,976

Cymer, Inc. (a)

12,474

518,419

Cypress Semiconductor Corp. (a)

64,504

1,225,576

Diodes, Inc. (a)

5,180

194,457

DSP Group, Inc. (a)

29,152

600,240

Electroglas, Inc. (a)(d)

5,581

13,339

EMCORE Corp. (a)

3,401

15,236

Entegris, Inc. (a)

50,797

565,879

ESS Technology, Inc. (a)

6,403

8,068

Exar Corp. (a)

7,046

94,769

Fairchild Semiconductor International, Inc. (a)

50,510

945,042

FEI Co. (a)

16,764

549,859

FormFactor, Inc. (a)

13,381

572,038

FSI International, Inc. (a)

5,015

25,677

Genesis Microchip, Inc. (a)

9,025

71,749

Hi/fn, Inc. (a)

1,922

10,513

Hittite Microwave Corp. (a)

10,757

451,149

Ibis Technology Corp. (a)(d)

2,229

3,054

Integrated Device Technology, Inc. (a)

67,233

1,090,519

Integrated Silicon Solution, Inc. (a)

5,041

30,397

Intel Corp.

2,318,301

46,018,275

International Rectifier Corp. (a)

25,130

1,078,580

Intersil Corp. Class A

52,088

1,377,728

Intest Corp. (a)

2,530

10,474

Intevac, Inc. (a)

15,683

427,675

IXYS Corp. (a)

4,418

45,726

KLA-Tencor Corp.

78,507

4,061,952

Kopin Corp. (a)

11,225

40,522

Kulicke & Soffa Industries, Inc. (a)

9,508

90,326

Lam Research Corp. (a)

53,512

2,389,846

Lattice Semiconductor Corp. (a)

25,736

158,534

Leadis Technology, Inc. (a)

8,517

34,409

Linear Technology Corp.

127,495

4,231,559

LSI Logic Corp. (a)(d)

170,872

1,732,642

LTX Corp. (a)

9,783

60,850

Marvell Technology Group Ltd. (a)

179,869

3,690,912

Mattson Technology, Inc. (a)

8,822

77,722

Maxim Integrated Products, Inc.

127,843

4,186,858

MEMC Electronic Materials, Inc. (a)

65,820

3,394,337

Micrel, Inc. (a)

15,707

183,144

Micro Component Technology, Inc. (a)

4,500

810

Microchip Technology, Inc.

91,090

3,242,804

Micron Technology, Inc. (a)

285,363

3,384,405

Microsemi Corp. (a)

27,037

547,770

Microtune, Inc. (a)

70,701

313,205

Mindspeed Technologies, Inc. (a)

30,106

73,158

MIPS Technologies, Inc. (a)

7,762

72,342

MKS Instruments, Inc. (a)

15,509

374,077

MoSys, Inc. (a)(d)

5,107

39,681

Nanometrics, Inc. (a)

800

6,112

National Semiconductor Corp.

124,736

3,195,736

NeoMagic Corp. (a)

200

738

Netlogic Microsystems, Inc. (a)(d)

7,321

182,586

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Semiconductors & Semiconductor Equipment - continued

Novellus Systems, Inc. (a)

44,722

$ 1,440,048

NVIDIA Corp.

147,306

4,566,486

Omnivision Technologies, Inc. (a)(d)

17,309

224,325

ON Semiconductor Corp. (a)

107,226

1,052,959

PDF Solutions, Inc. (a)

5,015

57,121

Pericom Semiconductor Corp. (a)

5,374

54,385

Photronics, Inc. (a)

15,942

245,826

Pixelworks, Inc. (a)

6,687

12,906

PLX Technology, Inc. (a)

4,640

46,539

PMC-Sierra, Inc. (a)(d)

93,108

628,479

QuickLogic Corp. (a)

5,724

15,111

Rambus, Inc. (a)(d)

45,568

907,715

Ramtron International Corp. (a)

5,613

14,313

RF Micro Devices, Inc. (a)

71,665

571,887

Rudolph Technologies, Inc. (a)

4,324

70,481

Semitool, Inc. (a)

5,613

73,025

Semtech Corp. (a)

44,783

641,740

Sigma Designs, Inc. (a)(d)

14,725

415,098

SigmaTel, Inc. (a)

4,765

16,916

Silicon Image, Inc. (a)

21,715

191,309

Silicon Laboratories, Inc. (a)

15,999

483,170

Silicon Storage Technology, Inc. (a)

22,297

118,174

SiRF Technology Holdings, Inc. (a)(d)

18,743

535,862

Skyworks Solutions, Inc. (a)

76,048

501,917

Spansion, Inc. Class A (a)

29,375

357,200

SRS Labs, Inc. (a)

3,224

36,141

Standard Microsystems Corp. (a)

15,940

455,406

Supertex, Inc. (a)

2,545

104,472

Tegal Corp. (a)

508

2,489

Teradyne, Inc. (a)

72,864

1,174,568

Tessera Technologies, Inc. (a)

22,178

896,435

Texas Instruments, Inc.

596,523

18,468,352

Therma-Wave, Inc. (a)

5,400

8,586

Transmeta Corp. (a)

22,689

16,336

Transwitch Corp. (a)

17,260

23,474

Trident Microsystems, Inc. (a)

25,747

569,266

Trio-Tech International

4,299

61,261

TriQuint Semiconductor, Inc. (a)

118,241

591,205

Tvia, Inc. (a)

6,300

2,533

Ultratech, Inc. (a)

4,385

58,057

Varian Semiconductor Equipment Associates, Inc. (a)

18,537

885,883

Veeco Instruments, Inc. (a)

5,015

98,244

Virage Logic Corp. (a)

3,759

30,749

Volterra Semiconductor Corp. (a)(d)

6,029

84,888

White Electronic Designs Corp. (a)

3,800

25,650

Xilinx, Inc.

137,630

3,526,081

Zoran Corp. (a)

21,434

353,018

170,065,535

Software - 3.1%

Activision, Inc. (a)

127,164

2,126,182

Shares

Value

Actuate Corp. (a)

5,850

$ 31,005

Adept Technology, Inc. (a)

680

4,876

Adobe Systems, Inc. (a)

234,530

9,205,303

Advent Software, Inc. (a)

4,896

177,235

Agile Software Corp. (a)

27,269

174,794

Altiris, Inc. (a)

4,459

145,096

American Software, Inc. Class A

4,418

32,472

Analytical Surveys, Inc. (a)

20

10

Ansoft Corp. (a)

1,194

37,002

Ansys, Inc. (a)

11,482

585,812

Applix, Inc. (a)

3,105

37,571

ARI Network Services, Inc. (a)

2,800

5,880

Aspen Technology, Inc. (a)

34,011

408,132

Atari, Inc. (a)

3,436

17,558

Authentidate Holding Corp. (a)

1,900

3,040

Autodesk, Inc. (a)

88,118

3,626,056

BEA Systems, Inc. (a)

141,982

1,693,845

Bitstream, Inc. Class A (a)

6,051

42,841

Blackbaud, Inc.

30,457

696,856

Blackboard, Inc. (a)

20,402

680,611

BMC Software, Inc. (a)

73,832

2,278,456

Borland Software Corp. (a)(d)

26,015

135,018

Bottomline Technologies, Inc. (a)

1,672

20,465

BSQUARE Corp. (a)

300

1,281

CA, Inc.

173,575

4,521,629

Cadence Design Systems, Inc. (a)(d)

106,842

2,130,429

CAM Commerce Solutions, Inc.

2,747

68,263

Captaris, Inc. (a)

8,598

53,394

Catapult Communications Corp. (a)

1,791

18,179

Citrix Systems, Inc. (a)

70,097

2,257,123

Compuware Corp. (a)

149,829

1,370,935

Concur Technologies, Inc. (a)

23,704

383,294

Convera Corp. Class A (a)(d)

2,323

7,108

Datawatch Corp. (a)

2,268

7,031

Digimarc Corp. (a)

1,730

18,788

Dynamics Research Corp. (a)

2,841

28,666

Electronic Arts, Inc. (a)

117,899

5,944,468

Embarcadero Technologies, Inc. (a)

2,866

17,597

Epicor Software Corp. (a)

10,026

134,950

EPIQ Systems, Inc. (a)(d)

3,759

66,647

ePlus, Inc. (a)

1,200

12,888

eSpeed, Inc. Class A (a)

5,678

48,320

FactSet Research Systems, Inc.

18,006

1,095,845

Fair, Isaac & Co., Inc.

24,213

945,033

FalconStor Software, Inc. (a)

3,941

39,607

GraphOn Corp. (a)

4,200

722

GSE Systems, Inc. (a)

452

3,245

Hyperion Solutions Corp. (a)

28,072

1,202,604

i2 Technologies, Inc. (a)(d)

13,978

332,816

Informatica Corp. (a)

51,545

668,023

Interactive Intelligence, Inc. (a)

2,508

37,093

Intervoice, Inc. (a)

13,560

87,055

Intuit, Inc. (a)

132,280

3,903,583

Jack Henry & Associates, Inc.

32,852

770,708

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Software - continued

JDA Software Group, Inc. (a)

26,690

$ 396,613

Kronos, Inc. (a)

19,286

761,797

Lawson Software, Inc. (a)(d)

77,423

613,190

Macrovision Corp. (a)

27,780

685,333

Magma Design Automation, Inc. (a)

5,493

55,369

Manhattan Associates, Inc. (a)

9,371

260,701

MapInfo Corp. (a)

27,813

389,382

McAfee, Inc. (a)

61,622

1,856,055

Mentor Graphics Corp. (a)

24,936

421,169

MICROS Systems, Inc. (a)

16,242

905,654

Microsoft Corp.

3,514,996

99,017,437

MicroStrategy, Inc. Class A (a)

4,892

616,734

Midway Games, Inc. (a)(d)

8,708

58,779

Mobius Management Systems, Inc. (a)

6,846

48,880

Moldflow Corp. (a)

3,162

44,900

MSC.Software Corp. (a)

20,093

270,251

Napster, Inc. (a)

4,053

15,766

NAVTEQ Corp. (a)

38,381

1,226,657

NetManage, Inc. (a)

1,157

6,016

NetScout Systems, Inc. (a)

9,157

79,025

NetSol Technologies, Inc. (a)

20

33

Novell, Inc. (a)

129,505

857,323

Nuance Communications, Inc. (a)(d)

61,035

859,983

Opnet Technologies, Inc. (a)

5,444

77,087

Opsware, Inc. (a)(d)

29,811

220,005

Oracle Corp. (a)

1,609,346

26,441,555

Parametric Technology Corp. (a)

48,969

933,839

Peerless Systems Corp. (a)

200

410

Pegasystems, Inc.

4,263

37,685

Pervasive Software, Inc. (a)

4,889

19,752

Phoenix Technologies Ltd. (a)

3,582

22,280

Plato Learning, Inc. (a)

2,149

10,960

Progress Software Corp. (a)

14,011

393,009

QAD, Inc.

4,871

40,770

Quality Systems, Inc. (d)

4,313

176,531

Quest Software, Inc. (a)

17,355

283,234

Quovadx, Inc. (a)

9,015

23,709

Radiant Systems, Inc. (a)

3,224

38,688

Red Hat, Inc. (a)

77,044

1,729,638

Renaissance Learning, Inc.

5,254

70,929

Salesforce.com, Inc. (a)

27,900

1,206,954

SCO Group, Inc. (a)

3,132

3,226

Secure Computing Corp. (a)

5,635

48,348

Smith Micro Software, Inc. (a)

4,403

59,396

Sonic Foundry, Inc. (a)

1,800

6,894

Sonic Solutions, Inc. (a)

21,391

310,811

SPSS, Inc. (a)

15,192

525,187

StorageNetworks, Inc. (a)

13,600

0

SumTotal Systems, Inc. (a)

682

5,940

Sybase, Inc. (a)

33,410

834,916

Symantec Corp. (a)

383,760

6,562,296

Shares

Value

Synopsys, Inc. (a)

60,758

$ 1,554,190

Synplicity, Inc. (a)

300

1,908

Take-Two Interactive Software, Inc. (a)(d)

40,097

713,727

TenFold Corp. (a)

2,690

1,291

THQ, Inc. (a)

26,897

866,352

TIBCO Software, Inc. (a)

66,897

605,418

Transaction Systems Architects, Inc.
Class A (a)

14,442

509,803

Ultimate Software Group, Inc. (a)

6,598

175,771

VA Software Corp. (a)

13,735

59,198

Vasco Data Security International, Inc. (a)

22,415

394,280

Versant Corp. (a)

320

5,821

Vertical Communications, Inc. (a)

533

506

Voxware, Inc. (a)

63

183

Wave Systems Corp. Class A (a)

700

1,596

Wayside Technology Group, Inc.

1,433

21,853

Wind River Systems, Inc. (a)

35,161

365,674

Witness Systems, Inc. (a)

21,270

566,420

203,718,527

TOTAL INFORMATION TECHNOLOGY

961,537,217

MATERIALS - 3.4%

Chemicals - 1.7%

A. Schulman, Inc.

16,718

352,583

Air Products & Chemicals, Inc.

85,046

6,363,142

Airgas, Inc.

28,629

1,181,519

Albemarle Corp.

13,482

1,103,502

American Pacific Corp. (a)

800

8,256

American Vanguard Corp. (d)

9,611

165,886

Arch Chemicals, Inc.

11,254

345,723

Ashland, Inc.

24,129

1,582,380

Atlantis Plastics, Inc. Class A (a)

600

1,794

Bairnco Corp.

800

10,832

Balchem Corp.

2,014

29,827

Cabot Corp.

29,397

1,314,634

Calgon Carbon Corp. (a)(d)

3,582

24,358

Celanese Corp. Class A

48,674

1,391,103

CF Industries Holdings, Inc.

26,664

1,030,830

Chemtura Corp.

109,513

1,257,209

Cytec Industries, Inc.

12,647

743,897

Dow Chemical Co.

393,305

17,226,759

E.I. du Pont de Nemours & Co.

375,987

19,081,340

Eastman Chemical Co.

30,213

1,786,193

Ecolab, Inc.

66,815

2,826,275

Eden Bioscience Corp. (a)

2,790

2,483

Ferro Corp.

18,316

388,299

FMC Corp.

13,624

1,002,318

Georgia Gulf Corp.

20,139

386,266

H.B. Fuller Co.

28,660

715,640

Hawkins, Inc.

6,199

98,874

Hercules, Inc. (a)

39,866

803,699

Huntsman Corp.

41,802

854,851

International Flavors & Fragrances, Inc.

29,121

1,362,863

Common Stocks - continued

Shares

Value

MATERIALS - continued

Chemicals - continued

Koppers Holdings, Inc.

8,700

$ 213,411

Kronos Worldwide, Inc.

87

2,970

Landec Corp. (a)

21,495

287,603

LESCO, Inc. (a)

3,491

50,096

Lubrizol Corp.

21,958

1,141,816

Lyondell Chemical Co.

90,429

2,881,068

MacDermid, Inc.

5,682

196,654

Material Sciences Corp. (a)

1,552

16,715

Minerals Technologies, Inc.

8,660

535,967

Monsanto Co.

220,521

11,619,251

Nalco Holding Co.

49,849

1,191,391

Nanophase Technologies Corp. (a)(d)

4,415

26,313

NewMarket Corp.

8,586

376,840

NL Industries, Inc.

6,360

69,833

Olin Corp.

40,214

695,702

OM Group, Inc. (a)

16,631

842,693

OMNOVA Solutions, Inc. (a)

3,702

22,508

Penford Corp.

600

12,414

Pioneer Companies, Inc. (a)

5,971

185,101

PolyOne Corp. (a)

34,189

229,408

PPG Industries, Inc.

62,657

4,151,026

Praxair, Inc.

128,078

7,901,132

Quaker Chemical Corp.

836

19,688

Rockwood Holdings, Inc. (a)

19,618

534,591

Rohm & Haas Co.

58,233

3,078,196

RPM International, Inc.

44,332

1,037,369

Sensient Technologies Corp.

13,223

323,831

Sigma Aldrich Corp.

51,131

2,096,371

Spartech Corp.

13,865

367,145

Stepan Co.

836

22,614

Symyx Technologies, Inc. (a)

19,320

322,837

Terra Industries, Inc.

47,555

829,835

The Mosaic Co.

61,464

1,563,644

The Scotts Miracle-Gro Co. Class A

16,958

748,017

Tronox, Inc. Class A

31,374

478,767

Valspar Corp.

39,915

1,082,096

W.R. Grace & Co. (a)(d)

15,584

383,990

Wellman, Inc.

2,274

7,186

Westlake Chemical Corp.

10,398

309,133

Zoltek Companies, Inc. (a)(d)

13,761

406,775

109,705,332

Construction Materials - 0.1%

Eagle Materials, Inc.

21,380

990,322

Florida Rock Industries, Inc.

21,199

1,428,389

Headwaters, Inc. (a)(d)

13,170

310,417

Martin Marietta Materials, Inc.

16,347

2,048,606

Texas Industries, Inc.

10,089

799,150

U.S. Concrete, Inc. (a)

30,514

266,692

Vulcan Materials Co.

33,459

3,897,639

9,741,215

Shares

Value

Containers & Packaging - 0.3%

AEP Industries, Inc. (a)

716

$ 32,449

Aptargroup, Inc.

15,424

1,014,899

Ball Corp.

40,637

1,881,493

Bemis Co., Inc.

35,746

1,184,265

Caraustar Industries, Inc. (a)

6,248

49,172

Chesapeake Corp.

13,027

201,007

Crown Holdings, Inc. (a)

66,968

1,529,549

Graphic Packaging Corp. (a)

22,196

106,541

Greif Brothers Corp. Class A

8,261

970,089

MOD-PAC Corp. (sub. vtg.) (a)

1,150

12,857

Myers Industries, Inc.

14,920

254,088

Owens-Illinois, Inc.

62,709

1,489,966

Packaging Corp. of America

29,091

712,730

Pactiv Corp. (a)

53,596

1,725,791

Rock-Tenn Co. Class A

21,495

697,943

Sealed Air Corp.

30,779

1,983,399

Silgan Holdings, Inc.

7,643

376,112

Smurfit-Stone Container Corp.

115,579

1,426,245

Sonoco Products Co.

30,710

1,136,884

Temple-Inland, Inc.

40,018

2,393,076

19,178,555

Metals & Mining - 1.0%

A.M. Castle & Co.

9,744

280,627

AK Steel Holding Corp. (a)

49,292

1,140,124

Alcoa, Inc.

361,329

12,072,002

Allegheny Technologies, Inc.

35,681

3,655,518

Amcol International Corp.

4,569

129,531

Brush Engineered Materials, Inc. (a)

5,620

251,888

Carpenter Technology Corp.

10,169

1,205,535

Century Aluminum Co. (a)

7,523

342,522

Chaparral Steel Co.

15,402

767,482

Cleveland-Cliffs, Inc.

13,984

788,698

Coeur d'Alene Mines Corp. (a)

91,517

413,657

Commercial Metals Co.

47,831

1,317,266

Compass Minerals International, Inc.

13,248

432,812

Freeport-McMoRan Copper & Gold, Inc. Class B (d)

78,842

4,526,319

Gibraltar Industries, Inc.

13,833

321,617

Hecla Mining Co.

61,413

472,880

Kaiser Aluminum Corp. (a)

5,374

363,712

Meridian Gold, Inc. (a)

34,222

938,687

Metal Management, Inc.

11,942

478,158

Newmont Mining Corp.

187,878

8,467,661

NN, Inc.

14,100

166,803

Northwest Pipe Co. (a)

12,239

447,703

Nucor Corp.

106,449

6,479,551

Phelps Dodge Corp.

80,156

10,012,286

Quanex Corp.

13,123

512,978

Reliance Steel & Aluminum Co.

19,737

901,191

Royal Gold, Inc. (d)

8,028

265,727

RTI International Metals, Inc. (a)

9,156

789,980

Ryerson Tull, Inc. (d)

18,740

644,656

Common Stocks - continued

Shares

Value

MATERIALS - continued

Metals & Mining - continued

Schnitzer Steel Industries, Inc. Class A

7,674

$ 288,005

Southern Copper Corp.

29,889

2,104,186

Steel Dynamics, Inc.

30,748

1,160,430

Steel Technologies, Inc.

3,105

91,039

Stillwater Mining Co. (a)

19,745

251,354

Synalloy Corp.

700

17,185

Titanium Metals Corp.

25,698

896,860

United States Steel Corp.

46,552

4,125,438

Universal Stainless & Alloy Products, Inc. (a)

3,224

149,336

Wheeling Pittsburgh Corp. (a)

2,763

68,384

Worthington Industries, Inc. (d)

27,749

552,760

68,292,548

Paper & Forest Products - 0.3%

Bowater, Inc.

21,552

521,127

Buckeye Technologies, Inc. (a)

7,804

99,267

Deltic Timber Corp.

2,846

147,480

Glatfelter

16,157

274,184

International Paper Co.

179,418

6,460,842

Louisiana-Pacific Corp.

46,304

955,715

MeadWestvaco Corp.

76,983

2,344,132

Neenah Paper, Inc.

13,013

482,782

Pope & Talbot, Inc. (a)

1,500

11,850

Schweitzer-Mauduit International, Inc.

6,659

158,884

Wausau-Mosinee Paper Corp.

43,208

625,220

Weyerhaeuser Co. (d)

93,006

7,986,425

20,067,908

TOTAL MATERIALS

226,985,558

TELECOMMUNICATION SERVICES - 3.2%

Diversified Telecommunication Services - 2.4%

Alaska Communication Systems Group, Inc.

42,393

620,210

Allegiance Telecom, Inc. (a)

7,100

0

AT&T, Inc.

2,521,457

92,789,618

C2 Global Technologies, Inc. (a)

450

360

Cbeyond, Inc.

10,719

333,039

CenturyTel, Inc.

43,474

1,945,462

Cincinnati Bell, Inc.

73,110

334,113

Citizens Communications Co.

127,107

1,915,502

Cogent Communications Group, Inc. (a)

22,164

500,020

Commonwealth Telephone Enterprises, Inc.

21,385

913,567

Consolidated Communications Holdings, Inc.

1,892

38,559

Covad Communications Group, Inc. (a)(d)

40,529

48,635

CT Communications, Inc.

15,557

366,678

D&E Communications, Inc.

3,344

43,974

Embarq Corp.

58,537

3,240,023

Shares

Value

FairPoint Communications, Inc.

4,350

$ 83,085

Fonix Corp. (a)

465

1

General Communications, Inc. Class A (a)

26,997

400,366

Global Crossing Ltd. (a)(d)

5,019

142,690

HickoryTech Corp.

540

3,845

Hungarian Telephone & Cable Corp. (a)

4,924

91,094

IDT Corp. Class B (a)

39,891

520,976

Iowa Telecommunication Services, Inc.

13,345

267,300

Level 3 Communications, Inc. (a)

421,178

2,767,139

Moscow CableCom Corp. (a)

2,030

25,375

NeuStar, Inc. Class A (a)

31,107

995,424

North Pittsburgh Systems, Inc.

2,555

55,341

Premiere Global Services, Inc. (a)

22,726

236,805

Qwest Communications International, Inc. (a)

616,226

5,472,087

Shenandoah Telecommunications Co.

2,149

94,728

SureWest Communications

9,983

238,394

Time Warner Telecom, Inc. Class A
(sub. vtg.) (a)

55,642

1,224,680

U.S. LEC Corp. Class A (a)

3,344

34,042

Verizon Communications, Inc.

1,166,447

43,660,111

Vonage Holdings Corp. (d)

6,797

35,344

Windstream Corp.

173,694

2,614,095

XETA Technologies, Inc. (a)

2,000

6,040

162,058,722

Wireless Telecommunication Services - 0.8%

ALLTEL Corp.

149,600

9,064,264

American Tower Corp. Class A (a)

168,007

6,508,591

Centennial Communications Corp.
Class A

23,517

185,314

Crown Castle International Corp. (a)

92,401

3,027,057

Dobson Communications Corp. Class A

77,017

683,911

FiberTower Corp. (a)(d)

27,468

146,404

GoAmerica, Inc. (a)

30

227

InPhonic, Inc. (a)(d)

30,403

377,909

IPCS, Inc. (a)

3,344

171,380

LCC International, Inc. (a)

2,300

11,661

Leap Wireless International, Inc. (a)

23,883

1,613,774

Metro One Telecommunications, Inc. (a)

1,450

2,973

NII Holdings, Inc. (a)(d)

58,501

4,144,211

Rural Cellular Corp. Class A (a)

5,613

73,137

SBA Communications Corp. Class A (a)

37,682

1,016,284

Sprint Nextel Corp.

1,184,630

22,839,666

SunCom Wireless Holdings, Inc.
Class A (a)

6,400

7,808

Syniverse Holdings, Inc. (a)

4,514

51,008

Telephone & Data Systems, Inc.

37,227

2,073,172

U.S. Cellular Corp.

4,026

288,866

USA Mobility, Inc.

19,338

374,770

Wireless Facilities, Inc. (a)

9,297

20,082

52,682,469

TOTAL TELECOMMUNICATION SERVICES

214,741,191

Common Stocks - continued

Shares

Value

UTILITIES - 3.6%

Electric Utilities - 1.7%

Allegheny Energy, Inc. (a)

63,151

$ 2,983,253

Allete, Inc.

12,552

587,810

American Electric Power Co., Inc.

155,095

6,957,562

Central Vermont Public Service Corp.

2,866

71,679

Cleco Corp.

37,059

970,946

DPL, Inc.

37,642

1,135,659

Duke Energy Corp.

511,356

10,068,600

Duquesne Light Holdings, Inc.

38,015

764,482

Edison International

119,882

5,624,863

El Paso Electric Co. (a)

36,448

857,986

Empire District Electric Co.

6,807

163,300

Entergy Corp.

82,842

8,176,505

Exelon Corp.

272,901

17,992,363

FirstEnergy Corp.

120,950

7,567,842

FPL Group, Inc.

147,081

8,688,075

Great Plains Energy, Inc.

26,335

818,755

Green Mountain Power Corp.

2,412

83,021

Hawaiian Electric Industries, Inc.

30,892

808,444

IDACORP, Inc.

14,110

491,592

ITC Holdings Corp.

22,621

993,288

MGE Energy, Inc.

3,941

131,669

Northeast Utilities

63,170

1,835,720

Otter Tail Corp.

9,692

317,122

Pepco Holdings, Inc.

67,656

1,801,003

Pinnacle West Capital Corp.

36,496

1,730,640

Portland General Electric Co.

7,643

216,220

PPL Corp.

151,250

5,750,525

Progress Energy, Inc.

103,445

5,054,323

Reliant Energy, Inc. (a)

138,294

2,338,552

Sierra Pacific Resources (a)

85,727

1,488,221

Southern Co.

297,535

10,651,753

UIL Holdings Corp.

5,771

210,238

Unisource Energy Corp.

26,415

1,001,393

Unitil Corp.

2,363

63,565

Westar Energy, Inc.

47,666

1,280,785

109,677,754

Gas Utilities - 0.3%

AGL Resources, Inc.

24,772

1,008,964

Amerigas Partners LP

5,374

172,075

Atmos Energy Corp.

36,856

1,161,701

Cascade Natural Gas Corp.

11,363

295,438

Chesapeake Utilities Corp.

3,771

115,581

Delta Natural Gas Co., Inc.

1,791

44,632

Energen Corp.

25,780

1,249,814

EnergySouth, Inc.

2,326

92,365

Equitable Resources, Inc.

39,855

1,700,613

Ferrellgas Partners LP

9,553

219,528

Laclede Group, Inc.

4,023

125,518

National Fuel Gas Co.

25,861

1,079,955

New Jersey Resources Corp.

9,922

490,048

Nicor, Inc.

15,258

710,107

Shares

Value

Northwest Natural Gas Co.

12,927

$ 572,278

ONEOK, Inc.

39,104

1,629,073

Piedmont Natural Gas Co., Inc.

20,465

514,285

Questar Corp.

33,000

2,776,620

South Jersey Industries, Inc.

14,199

491,285

Southern Union Co.

44,517

1,304,348

Southwest Gas Corp.

26,857

996,932

Suburban Propane Partners LP

8,359

356,511

UGI Corp.

34,926

911,918

WGL Holdings, Inc.

32,132

1,012,801

19,032,390

Independent Power Producers & Energy Traders - 0.5%

AES Corp. (a)

261,341

5,571,790

AMEN Properties, Inc. (a)

75

408

Black Hills Corp.

14,151

510,144

Constellation Energy Group, Inc.

69,393

5,459,147

Dynegy, Inc. Class A (a)

184,539

1,515,065

Mirant Corp. (a)

107,983

4,023,447

NRG Energy, Inc.

50,945

3,374,597

Ormat Technologies, Inc.

832

32,323

TXU Corp.

188,056

12,439,904

32,926,825

Multi-Utilities - 1.1%

Alliant Energy Corp.

45,805

1,915,565

Ameren Corp.

80,613

4,210,417

Aquila, Inc.

171,854

711,476

Avista Corp.

19,049

445,747

CenterPoint Energy, Inc. (d)

108,094

1,928,397

CH Energy Group, Inc.

7,715

365,382

CMS Energy Corp.

99,418

1,734,844

Consolidated Edison, Inc. (d)

106,303

5,164,200

Dominion Resources, Inc.

139,515

11,932,718

DTE Energy Co.

71,928

3,330,266

Energy East Corp.

48,789

1,205,576

Integrys Energy Group, Inc.

34,252

1,909,206

KeySpan Corp.

68,641

2,817,027

MDU Resources Group, Inc.

59,451

1,571,290

NiSource, Inc.

114,539

2,724,883

NorthWestern Energy Corp.

18,612

671,149

NSTAR (d)

39,576

1,353,895

OGE Energy Corp.

42,193

1,629,072

PG&E Corp.

138,101

6,410,648

PNM Resources, Inc.

22,732

694,690

Public Service Enterprise Group, Inc.

97,467

7,300,278

Puget Energy, Inc.

35,887

885,332

SCANA Corp.

41,226

1,720,361

Sempra Energy

91,216

5,477,521

TECO Energy, Inc.

77,059

1,292,279

Vectren Corp.

34,149

956,513

Wisconsin Energy Corp.

42,761

2,050,390

Xcel Energy, Inc. (d)

159,657

3,772,695

76,181,817

Common Stocks - continued

Shares

Value

UTILITIES - continued

Water Utilities - 0.0%

American States Water Co.

4,060

$ 153,874

Aqua America, Inc. (d)

54,054

1,231,891

Artesian Resources Corp. Class A

3,752

72,226

California Water Service Group

3,941

150,861

Middlesex Water Co.

3,274

59,325

SJW Corp.

7,881

271,264

Southwest Water Co. (d)

7,527

95,442

2,034,883

TOTAL UTILITIES

239,853,669

TOTAL COMMON STOCKS

(Cost $5,461,461,021)

6,439,667,886

Nonconvertible Bonds - 0.0%

Principal Amount

HEALTH CARE - 0.0%

Health Care Equipment & Supplies - 0.0%

Del Global Technologies Corp. 6% 3/28/07

$ 1,239

620

TOTAL NONCONVERTIBLE BONDS

(Cost $1,224)

620

U.S. Treasury Obligations - 0.2%

U.S. Treasury Bills, yield at date of purchase 4.86% to 4.9% 3/22/07 (e)
(Cost $10,469,124)

10,500,000

10,468,731

Money Market Funds - 5.2%

Shares

Fidelity Cash Central Fund, 5.35% (b)

150,980,355

150,980,355

Fidelity Securities Lending Cash Central Fund, 5.34% (b)(c)

191,969,718

191,969,718

TOTAL MONEY MARKET FUNDS

(Cost $342,950,073)

342,950,073

TOTAL INVESTMENT PORTFOLIO - 102.5%

(Cost $5,814,881,442)

6,793,087,310

NET OTHER ASSETS - (2.5)%

(162,512,666)

NET ASSETS - 100%

$ 6,630,574,644

Futures Contracts

Expiration Date

Underlying
Face Amount
at Value

Unrealized Appreciation/
(Depreciation)

Purchased

Equity Index Contracts

280 Russell E-Mini Index Contracts

March 2007

$ 22,251,600

$ (195,219)

56 S&P 500 E-Mini Index Contracts

March 2007

3,944,920

(101,042)

421 S&P 500 Index Contracts

March 2007

148,286,725

(2,653,944)

133 S&P MidCap 400 E-Mini Index Contracts

March 2007

11,165,350

37,492

TOTAL EQUITY INDEX CONTRACTS

$ 185,648,595

$ (2,912,713)

The face value of futures purchased as a percentage of net assets - 2.8%

Swap Agreements

Expiration Date

Notional Amount

Value

Equity Total Return Swaps

Receive monthly a return equal to Plains All American Pipeline LP and pay monthly a floating rate based on 1-month LIBOR plus 25 basis points with JP Morgan Chase, Inc.

Sept. 2007

$ 1,202,966

$ 112,714

Legend

(a) Non-income producing

(b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request.

(c) Investment made with cash collateral received from securities on loan.

(d) Security or a portion of the security is on loan at period end.

(e) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $6,939,273.

Affiliated Central Funds

Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:

Fund

Income earned

Fidelity Cash Central Fund

$ 5,459,621

Fidelity Securities Lending Cash Central Fund

1,769,363

Total

$ 7,228,984

Income Tax Information

At February 28, 2007, the fund had a capital loss carryforward of approximately $11,563,826 of which $8,739,471 and $2,824,355 will expire on February 28, 2011 and 2013, respectively.

See accompanying notes which are an integral part of the financial statements.

Annual Report

Spartan Total Market Index Fund

Financial Statements

Statement of Assets and Liabilities

February 28, 2007

Assets

Investment in securities, at value
(including securities loaned of $188,015,550) -
See accompanying schedule:

Unaffiliated issuers
(cost $5,471,931,369)

$ 6,450,137,237

Fidelity Central Funds
(cost $342,950,073)

342,950,073

Total Investments
(cost $5,814,881,442)

$ 6,793,087,310

Cash

8,516

Receivable for investments sold

42,521

Receivable for fund shares sold

23,044,339

Dividends receivable

11,961,004

Interest receivable

366

Distributions receivable from Fidelity Central Funds

617,573

Receivable for daily variation on
futures contracts

1,610,814

Swap agreements, at value

112,714

Other receivables

154,217

Total assets

6,830,639,374

Liabilities

Payable for fund shares redeemed

7,604,552

Accrued management fee

390,362

Other affiliated payables

100,098

Collateral on securities loaned, at value

191,969,718

Total liabilities

200,064,730

Net Assets

$ 6,630,574,644

Net Assets consist of:

Paid in capital

$ 5,678,212,303

Undistributed net investment income

22,777,106

Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions

(45,820,572)

Net unrealized appreciation
(depreciation) on investments and assets and liabilities in foreign
currencies

975,405,807

Net Assets

$ 6,630,574,644

Investor Class:
Net Asset Value, offering price and redemption price per share ($3,942,367,663 ÷ 99,351,985 shares)

$ 39.68

Fidelity Advantage Class:
Net Asset Value, offering price and redemption price per share ($2,688,206,981 ÷ 67,742,250 shares)

$ 39.68

Statement of Operations

Year ended February 28, 2007

Investment Income

Dividends

$ 81,724,579

Interest

365,079

Income from Fidelity Central Funds (including $1,769,363 from security lending)

7,228,984

Total income

89,318,642

Expenses

Management fee

$ 3,318,127

Transfer agent fees

788,722

Independent trustees' compensation

17,113

Miscellaneous

11,203

Total expenses before reductions

4,135,165

Expense reductions

(103,993)

4,031,172

Net investment income (loss)

85,287,470

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

Unaffiliated issuers

22,225,813

Foreign currency transactions

(277)

Futures contracts

6,272,925

Swap agreements

136,607

Total net realized gain (loss)

28,635,068

Change in net unrealized appreciation (depreciation) on:

Investment securities

413,816,605

Assets and liabilities in foreign currencies

(62)

Futures contracts

(3,917,107)

Swap agreements

119,066

Total change in net unrealized
appreciation (depreciation)

410,018,502

Net gain (loss)

438,653,570

Net increase (decrease) in net assets resulting from operations

$ 523,941,040

See accompanying notes which are an integral part of the financial statements.

Annual Report

Spartan Total Market Index Fund
Financial Statements - continued

Statement of Changes in Net Assets

Year ended
February 28,
2007

Year ended
February 28,
2006

Increase (Decrease) in Net Assets

Operations

Net investment income (loss)

$ 85,287,470

$ 55,211,166

Net realized gain (loss)

28,635,068

(19,026,551)

Change in net unrealized appreciation (depreciation)

410,018,502

310,697,527

Net increase (decrease) in net assets resulting from operations

523,941,040

346,882,142

Distributions to shareholders from net investment income

(74,441,874)

(50,233,105)

Share transactions - net increase (decrease)

2,465,303,242

569,776,876

Redemption fees

144,921

104,581

Total increase (decrease) in net assets

2,914,947,329

866,530,494

Net Assets

Beginning of period

3,715,627,315

2,849,096,821

End of period (including undistributed net investment income of $22,777,106 and undistributed net investment income of $13,065,766, respectively)

$ 6,630,574,644

$ 3,715,627,315

Financial Highlights - Investor Class

Years ended February 28,

2007

2006

2005

2004 G

2003

Selected Per-Share Data

Net asset value, beginning of period

$ 35.89

$ 32.89

$ 31.00

$ 22.07

$ 28.57

Income from Investment Operations

Net investment income (loss) B

.68

.56

.54 E

.37

.35

Net realized and unrealized gain (loss)

3.63

2.95

1.82

8.88

(6.53)

Total from investment operations

4.31

3.51

2.36

9.25

(6.18)

Distributions from net investment income

(.52)

(.51)

(.47)

(.32)

(.32)

Redemption fees added to paid in capital B

- H

- H

- H

- H

- H

Net asset value, end of period

$ 39.68

$ 35.89

$ 32.89

$ 31.00

$ 22.07

Total Return A

12.05%

10.73%

7.64%

42.07%

(21.73)%

Ratios to Average Net Assets C, F

Expenses before reductions

.10%

.10%

.38%

.40%

.41%

Expenses net of fee waivers, if any

.10%

.10%

.17%

.25%

.25%

Expenses net of all reductions

.10%

.10%

.17%

.25%

.25%

Net investment income (loss)

1.80%

1.67%

1.73% E

1.36%

1.39%

Supplemental Data

Net assets, end of period (000 omitted)

$ 3,942,368

$ 1,971,617

$ 2,849,097

$ 2,240,513

$ 1,003,806

Portfolio turnover rate D

4%

6%

6%

3%

3%

A Total returns would have been lower had certain expenses not been reduced during the periods shown.

B Calculated based on average shares outstanding during the period.

C Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

D Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

E Investment income per share reflects a special dividend which amounted to $.08 per share. Excluding the special dividend, the ratio of net investment income (loss) to average net assets would have been 1.49%.

F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

G For the year ended February 29.

H Amount represents less than $.01 per share.

See accompanying notes which are an integral part of the financial statements.

Annual Report

Financial Highlights - Fidelity Advantage Class

Years ended February 28,

2007

2006 G

Selected Per-Share Data

Net asset value, beginning of period

$ 35.89

$ 33.05

Income from Investment Operations

Net investment income (loss) D

.69

.24

Net realized and unrealized gain (loss)

3.63

3.02

Total from investment operations

4.32

3.26

Distributions from net investment income

(.53)

(.42)

Redemption fees added to paid in capital D

- I

- I

Net asset value, end of period

$ 39.68

$ 35.89

Total Return B, C

12.08%

9.90%

Ratios to Average Net Assets E, H

Expenses before reductions

.07%

.07% A

Expenses net of fee waivers, if any

.07%

.07% A

Expenses net of all reductions

.07%

.07% A

Net investment income (loss)

1.83%

1.83% A

Supplemental Data

Net assets, end of period (000 omitted)

$ 2,688,207

$ 1,744,010

Portfolio turnover rate F

4%

6%

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower had certain expenses not been reduced during the periods shown.

D Calculated based on average shares outstanding during the period.

E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

G For the period October 14, 2005 (commencement of sale of shares) to February 28, 2006.

H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

I Amount represents less than $.01 per share.

See accompanying notes which are an integral part of the financial statements.

Annual Report

Spartan Extended Market Index Fund

Performance: The Bottom Line

Average annual total return reflects the change in the value of an investment, assuming reinvestment of the class' dividend income and capital gains (the profits earned upon the sale of securities that have grown in value) and assuming a constant rate of performance each year. The $10,000 table and the fund's returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.

Average Annual Total Returns

Periods ended February 28, 2007

Past 1
year

Past 5
years

Life of fund

Spartan Extended Market Index Fund - Investor Class A

12.46%

13.56%

7.89%

Spartan Extended Market Index Fund - Fidelity Advantage Class B

12.49%

13.58%

7.90%

A From November 5, 1997.

B The initial offering of Fidelity Advantage Class took place on October 14, 2005. Returns prior to October 14, 2005 are those of Investor Class.

$10,000 Over Life of Fund

Let's say hypothetically that $10,000 was invested in Spartan Extended Market Index Fund - Investor Class on November 5, 1997, when the fund started. The chart shows how the value of your investment would have changed, and also shows how the Dow Jones Wilshire 4500 Completion IndexSM performed over the same period.



Annual Report

Spartan Extended Market Index Fund

Management's Discussion of Fund Performance

Comments from Jeffrey Adams, who oversees the Spartan® Extended Market Index Fund's investment management team as Head of Indexing for Geode Capital Management, LLC

A rosy year for stocks wilted just prior to the end of the 12-month period ending February 28, 2007. On the day prior to the period's close, the Dow Jones Industrial AverageSM plunged 416 points and the Standard & Poor's 500SM Index lost roughly 3.5% of its value, plummeting nearly 50 points and marking the benchmark's worst single-day performance since the day the market reopened after the 9/11 terrorist attacks. Though investors were obviously rattled by the development, it was only the 22nd-biggest decline for the S&P 500® in 20 years, and it could not overshadow how well stocks performed for the 12 months overall. For much of the past year, investors grew confident that the economy would not fall into a recession, and they bid up most broad-based stock indexes for six consecutive months from August through January. Overall for the year ending February 28, 2007, the broad stock market, as measured by the Dow Jones Wilshire 4500 Completion IndexSM, returned 12.51%, beating the 11.97% return of the S&P 500 during the period. Mid-cap stocks beat their large-cap counterparts during the past 12 months, although small-caps lagged large-caps - as measured by the S&P 500 - in relative terms. The Russell MidCap® Index gained 13.65%, while the small-cap Russell 2000® Index rose 9.87%.

For the 12 months ending February 28, 2007, the fund's Investor Class and Fidelity Advantage Class shares gained 12.46% and 12.49%, respectively. These results were in line with the Dow Jones Wilshire 4500 Completion Index. The market's best performing sector was telecommunication services, followed by materials, consumer staples and utilities - four relatively small weightings that together made up a combined 13% of the index on average. No sector turned in negative results during the past year, although health care stocks were only modest positives. Information technology stocks, weighed down by poor results from semiconductor-related companies, also were relatively subdued. Berkshire Hathaway - by far the largest position in the index - was a significant individual contributor. The insurance and investment company run by famed investor Warren Buffett rose on steady income gains and improved financial performance from the company's insurance units. Satellite television company DirecTV Group benefited from a near-tripling of its fourth-quarter earnings that resulted from stronger-than-expected subscriber growth. Internet search leader Google also performed very well, helped by a combination of strong income gains and analyst upgrades of the stock. On the negative side, semiconductor maker Marvell Technology Group was a significant laggard, losing ground early in the period after announcing worse-than-expected sales and an increase in expenses stemming from a government investigation into its stock option practices. Clothing retailer Chico's FAS saw its worst one-day drop ever after poor inventory management led the company to reduce its earnings forecast. Another disappointment was Omnicare. This provider of pharmacy services to U.S. nursing homes experienced a drop in insurance reimbursements, which in turn led to a decline in quarterly profits.

The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.

Annual Report

Spartan Extended Market Index Fund

Investment Changes

Top Ten Stocks as of February 28, 2007

% of fund's
net assets

% of fund's net assets
6 months ago

Berkshire Hathaway, Inc. Class A

3.0

3.0

Genentech, Inc.

1.1

1.2

Accenture Ltd. Class A

0.5

0.5

American Tower Corp. Class A

0.5

0.5

Liberty Media Holding Corp. - Interactive Series A

0.4

0.4

Seagate Technology

0.4

0.4

Liberty Media Holding Corp. - Capital Series A

0.4

0.4

General Growth Properties, Inc.

0.4

0.3

Host Hotels & Resorts, Inc.

0.4

0.4

GlobalSantaFe Corp.

0.4

0.4

7.5

Market Sectors as of February 28, 2007

% of fund's
net assets

% of fund's net assets
6 months ago

Financials

24.3

25.4

Consumer Discretionary

14.9

14.8

Information Technology

13.9

13.8

Industrials

12.4

11.8

Health Care

10.4

11.4

Energy

7.9

8.8

Materials

4.5

4.1

Utilities

4.1

4.5

Consumer Staples

2.8

2.7

Telecommunication Services

2.1

1.9

Annual Report

Spartan Extended Market Index Fund

Investments February 28, 2007

Showing Percentage of Net Assets

Common Stocks - 97.3%

Shares

Value

CONSUMER DISCRETIONARY - 14.9%

Auto Components - 0.6%

Aftermarket Technology Corp. (a)

21,842

$ 488,824

American Axle & Manufacturing Holdings, Inc.

35,598

873,219

Amerigon, Inc. (a)

23,891

265,668

Amerityre Corp. (a)(d)

29,329

114,090

ArvinMeritor, Inc.

55,114

1,006,382

Bandag, Inc.

9,213

465,994

BorgWarner, Inc.

45,904

3,380,371

Cooper Tire & Rubber Co. (d)

48,658

717,219

Dorman Products, Inc. (a)

2,806

32,045

Drew Industries, Inc. (a)

19,046

548,525

Exide Technologies (a)

43,320

340,495

Fuel Systems Solutions, Inc. (a)

12,638

276,646

GenTek, Inc. (a)

5,509

189,455

Gentex Corp. (d)

119,900

2,003,529

Hawk Corp. Class A (a)

3,526

36,318

Hayes Lemmerz International, Inc. (a)

44,821

221,864

Lear Corp.

53,988

1,993,237

LKQ Corp. (a)

43,476

944,299

Modine Manufacturing Co.

27,539

679,387

Noble International Ltd.

9,445

178,227

Proliance International, Inc. (a)

3,337

14,516

Quantum Fuel Systems Technologies Worldwide, Inc. (a)(d)

11,619

16,731

Sauer-Danfoss, Inc.

10,641

393,079

Shiloh Industries, Inc.

7,998

94,856

Spartan Motors, Inc.

20,482

454,086

Standard Motor Products, Inc.

9,163

140,927

Stoneridge, Inc. (a)(d)

8,249

93,956

Strattec Security Corp. (a)

1,213

55,992

Superior Industries International, Inc.

15,308

328,357

Tenneco, Inc. (a)

41,435

1,006,871

TRW Automotive Holdings Corp. (a)

38,055

1,159,155

Visteon Corp. (a)

115,472

984,976

19,499,296

Automobiles - 0.1%

Coachmen Industries, Inc.

14,942

161,672

Fleetwood Enterprises, Inc. (a)

48,372

448,408

Monaco Coach Corp.

23,075

371,738

National R.V. Holdings, Inc. (a)

1,403

4,490

Thor Industries, Inc.

29,826

1,247,920

Winnebago Industries, Inc.

21,883

711,635

2,945,863

Distributors - 0.1%

All American Semiconductor, Inc. (a)

3,649

10,801

Amcon Distributing Co. (a)

1,022

24,630

Aristotle Corp. (a)

3,170

31,859

Audiovox Corp. Class A (a)

17,037

257,259

Building Materials Holding Corp.

25,698

534,261

Core-Mark Holding Co., Inc. (a)

4,539

139,756

Design Within Reach, Inc. (a)

7,015

38,512

Shares

Value

DXP Enterprises, Inc. (a)(d)

5,096

$ 153,695

Handleman Co.

16,324

124,062

Keystone Automotive Industries, Inc. (a)

11,886

392,832

Source Interlink Companies, Inc. (a)

25,121

181,122

1,888,789

Diversified Consumer Services - 1.0%

Bright Horizons Family Solutions, Inc. (a)

19,647

787,452

Capella Education Co.

4,057

132,704

Career Education Corp. (a)

77,928

2,305,110

Carriage Services, Inc. Class A

9,225

64,667

Coinmach Service Corp. Class A

30,739

341,510

Coinstar, Inc. (a)

24,128

712,017

Collectors Universe, Inc.

1,240

17,124

Corinthian Colleges, Inc. (a)

66,178

923,183

CPI Corp.

3,642

182,100

DeVry, Inc.

50,217

1,387,998

Educate, Inc. (a)

13,204

103,519

EVCI Career Colleges, Inc. (a)

1,029

412

Home Solutions America, Inc. (a)(d)

32,603

191,706

INVESTools, Inc. (a)

30,109

480,239

ITT Educational Services, Inc. (a)

33,541

2,682,609

Jackson Hewitt Tax Service, Inc.

23,794

767,357

Laureate Education, Inc. (a)

37,643

2,246,534

Mace Security International, Inc. (a)

8,918

24,970

Matthews International Corp. Class A

28,495

1,140,085

Nobel Learning Communities, Inc. (a)

2,715

36,435

Pre-Paid Legal Services, Inc. (d)

11,474

474,794

Princeton Review, Inc. (a)

7,132

36,944

Regis Corp.

42,201

1,775,818

Service Corp. International

240,976

2,826,648

ServiceMaster Co.

229,196

3,130,817

Sotheby's Class A (ltd. vtg.)

52,495

1,908,718

Steiner Leisure Ltd. (a)

12,702

574,257

Stewart Enterprises, Inc. Class A

88,229

697,891

Strayer Education, Inc.

12,083

1,424,465

Universal Technical Institute, Inc. (a)(d)

19,751

466,716

Vertrue, Inc. (a)

7,068

344,777

Weight Watchers International, Inc.

36,503

1,724,767

29,914,343

Hotels, Restaurants & Leisure - 3.0%

AFC Enterprises, Inc. (a)

34,768

597,662

Ambassadors Group, Inc.

15,867

471,250

Ambassadors International, Inc.

7,395

313,104

American Real Estate Partners LP

4,195

445,719

American Wagering, Inc. (a)

4,600

5,336

Ameristar Casinos, Inc.

20,204

655,014

Applebee's International, Inc.

59,013

1,508,372

ARK Restaurants Corp.

5,734

199,257

Atlantic Coast Entertainment Holdings, Inc. warrants 7/23/11 (a)

5,539

0

Back Yard Burgers, Inc. (a)

4,772

26,962

Bally Technologies, Inc. (a)

40,113

876,469

Bally Total Fitness Holding Corp. (a)(d)

17,979

37,037

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - continued

Benihana, Inc. Class A (sub. vtg.) (a)

10,026

$ 308,199

BJ's Restaurants, Inc. (a)(d)

11,962

243,786

Bluegreen Corp. (a)

15,202

185,160

Bob Evans Farms, Inc.

27,939

1,010,274

Boyd Gaming Corp.

44,403

2,081,169

Brinker International, Inc.

99,197

3,373,690

Buca, Inc. (a)

5,333

30,185

Buffalo Wild Wings, Inc. (a)

5,685

312,675

Burger King Holdings, Inc.

21,296

453,605

California Pizza Kitchen, Inc. (a)

13,244

423,543

Carrols Restaurant Group, Inc.

13,945

185,469

CBRL Group, Inc.

21,251

991,572

CEC Entertainment, Inc. (a)

25,621

1,092,479

Cedar Fair LP (depository unit)

36,099

1,042,178

Century Casinos, Inc. (a)

29,959

304,983

Champps Entertainment, Inc. (a)

6,082

36,188

Chipotle Mexican Grill, Inc. Class A (d)

26,626

1,597,294

Choice Hotels International, Inc.

30,307

1,136,209

Churchill Downs, Inc.

8,542

374,652

CKE Restaurants, Inc.

55,663

1,075,409

Cosi, Inc. (a)(d)

50,022

290,628

Denny's Corp. (a)

61,044

289,349

Domino's Pizza, Inc.

32,517

1,003,475

Dover Downs Gaming & Entertainment, Inc.

19,410

236,996

Dover Motorsports, Inc.

22,686

120,916

Empire Resorts, Inc. (a)

29,497

321,812

Famous Dave's of America, Inc. (a)

6,737

125,173

Friendly Ice Cream Corp. (a)

6,031

72,372

Frisch's Restaurants, Inc.

2,711

77,182

Gaylord Entertainment Co. (a)

33,740

1,820,948

Great Wolf Resorts, Inc. (a)

38,009

508,180

IHOP Corp.

14,600

813,512

International Speedway Corp. Class A

29,137

1,550,088

Interstate Hotels & Resorts, Inc. (a)

17,282

117,518

Isle of Capri Casinos, Inc. (a)

16,733

449,281

Jack in the Box, Inc. (a)

28,494

1,947,280

Jamba, Inc. (a)(d)

20,639

204,120

Krispy Kreme Doughnuts, Inc. (a)(d)

42,352

430,720

Landry's Seafood Restaurants, Inc.

12,835

377,606

Las Vegas Sands Corp. (a)

84,360

7,278,581

Life Time Fitness, Inc. (a)

26,316

1,257,905

Littlefield Corp.

600

654

Lodgian, Inc. (a)

30,634

409,883

Luby's, Inc. (a)

13,286

137,244

Marcus Corp.

18,741

412,677

Max & Erma's Restaurants, Inc. (a)

2,608

21,125

McCormick & Schmick's Seafood Restaurants (a)

12,159

306,042

MGM Mirage, Inc. (a)

96,126

6,826,869

Monarch Casino & Resort, Inc. (a)

7,412

192,860

Shares

Value

Morgans Hotel Group Co.

17,220

$ 300,661

Morton's Restaurant Group, Inc.

8,711

163,767

MTR Gaming Group, Inc. (a)

23,573

308,571

Multimedia Games, Inc. (a)(d)

16,757

176,954

O'Charleys, Inc. (a)

18,262

382,954

Orient Express Hotels Ltd. Class A

32,968

1,702,138

OSI Restaurant Partners, Inc.

53,649

2,145,960

P.F. Chang's China Bistro, Inc. (a)(d)

23,366

1,020,861

Panera Bread Co. Class A (a)(d)

26,928

1,648,801

Papa John's International, Inc.

22,475

663,687

Penn National Gaming, Inc. (a)

58,413

2,723,798

Pinnacle Entertainment, Inc. (a)(d)

44,420

1,436,543

Premier Exhibitions, Inc. (a)

16,798

181,754

Progressive Gaming International Corp. (a)(d)

36,971

297,617

Rare Hospitality International, Inc. (a)

26,072

804,582

Red Lion Hotels Corp. (a)

13,529

165,730

Red Robin Gourmet Burgers, Inc. (a)

12,651

499,461

Riviera Holdings Corp. (a)

4,031

81,225

Royal Caribbean Cruises Ltd.

103,323

4,187,681

Rubio's Restaurants, Inc. (a)

3,930

36,353

Ruby Tuesday, Inc.

49,115

1,439,070

Ruth's Chris Steak House, Inc. (a)

15,729

339,432

Scientific Games Corp. Class A (a)

57,429

1,877,928

Shuffle Master, Inc. (a)(d)

25,915

551,212

Six Flags, Inc. (d)

81,962

507,345

Sonic Corp.

57,116

1,237,704

SPEEDUS Corp. (a)

1,900

2,356

Speedway Motorsports, Inc.

12,671

473,515

Station Casinos, Inc.

34,425

2,970,189

Steak n Shake Co. (a)

17,661

303,593

Texas Roadhouse, Inc. Class A (a)

51,113

748,805

The Cheesecake Factory, Inc. (a)

64,435

1,758,431

Town Sports International Holdings, Inc.

11,158

219,143

Triarc Companies, Inc. Class B

44,215

797,196

Trump Entertainment Resorts, Inc. (a)(d)

22,714

399,539

Vail Resorts, Inc. (a)(d)

23,747

1,233,894

WMS Industries, Inc. (a)

22,642

847,490

Wynn Resorts Ltd. (d)

62,650

6,140,953

Youbet.com, Inc. (a)

30,676

100,311

89,873,101

Household Durables - 1.2%

American Greetings Corp. Class A (d)

49,737

1,164,841

Avatar Holdings, Inc. (a)(d)

6,380

459,743

Bassett Furniture Industries, Inc.

8,703

137,333

Beazer Homes USA, Inc.

31,447

1,240,899

Blyth, Inc.

27,359

560,860

Brookfield Homes Corp. (d)

9,444

335,262

California Coastal Communities, Inc.

7,836

154,056

Cavalier Homes, Inc. (a)

13,027

54,323

Cavco Industries, Inc. (a)

5,868

193,703

Champion Enterprises, Inc. (a)

57,588

456,673

Cobra Electronics Corp.

1,132

12,067

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Household Durables - continued

Comstock Homebuilding Companies, Inc. Class A (a)(d)

3,651

$ 21,943

Craftmade International, Inc.

2,794

46,129

CSS Industries, Inc.

8,769

301,478

Directed Electronics, Inc. (a)

13,160

115,676

Dixie Group, Inc. (a)

6,499

86,047

Dominion Homes, Inc. (a)(d)

2,526

12,125

Emerson Radio Corp. (a)

9,263

30,105

Ethan Allen Interiors, Inc.

23,871

879,885

Flexsteel Industries, Inc.

3,192

47,912

Furniture Brands International, Inc. (d)

32,620

523,225

Garmin Ltd. (d)

92,298

5,054,238

Helen of Troy Ltd. (a)

25,072

580,668

Hooker Furniture Corp.

10,379

195,644

Hovnanian Enterprises, Inc. Class A

30,361

944,227

iRobot Corp. (a)(d)

9,004

125,246

Jarden Corp. (a)

50,591

1,853,148

Kimball International, Inc. Class B

25,065

527,117

La-Z-Boy, Inc. (d)

38,209

525,756

Lenox Group, Inc. (a)

11,079

58,054

Levitt Corp. Class A

10,641

138,865

Libbey, Inc.

18,245

226,238

Lifetime Brands, Inc. (d)

5,543

107,257

M.D.C. Holdings, Inc.

28,043

1,431,876

M/I Homes, Inc.

8,680

272,812

Meritage Homes Corp. (a)

18,180

704,475

MITY Enterprises, Inc. (a)

3,184

62,088

Mohawk Industries, Inc. (a)(d)

43,343

3,793,379

National Presto Industries, Inc.

2,847

179,987

NVR, Inc. (a)(d)

4,088

2,767,576

Orleans Homebuilders, Inc. (d)

4,454

65,741

Palm Harbor Homes, Inc. (a)(d)

9,454

123,375

Russ Berrie & Co., Inc. (a)

6,705

93,937

Ryland Group, Inc.

33,968

1,636,239

Salton, Inc. (a)(d)

2,717

6,358

Sealy Corp., Inc.

38,709

667,730

Skyline Corp.

6,866

235,229

Standard Pacific Corp.

55,509

1,417,145

Stanley Furniture Co., Inc.

12,350

265,649

Syntax-Brillian Corp. (a)(d)

37,311

304,458

Tarragon Corp.

8,937

117,253

Technical Olympic USA, Inc. (d)

9,819

88,469

Tempur-Pedic International, Inc.

52,587

1,308,890

Toll Brothers, Inc. (a)

95,524

2,852,347

Tupperware Brands Corp.

53,724

1,257,679

Universal Electronics, Inc. (a)

13,861

362,049

Virco Manufacturing Co. (a)

4,818

42,928

WCI Communities, Inc. (d)

23,715

493,746

37,722,158

Shares

Value

Internet & Catalog Retail - 0.9%

1-800 CONTACTS, Inc. (a)

3,181

$ 56,081

1-800-FLOWERS.com, Inc. Class A (a)

19,046

139,226

Audible, Inc. (a)

9,878

94,137

Blair Corp.

1,894

79,359

Blue Nile, Inc. (a)(d)

11,439

446,121

Bluefly, Inc. (a)

1,778

2,134

Coldwater Creek, Inc. (a)

51,990

956,616

Collegiate Pacific, Inc.

9,387

82,324

dELiA*s, Inc. (a)

18,288

184,709

Drugstore.com, Inc. (a)

71,510

198,083

eDiets.com, Inc. (a)(d)

14,028

42,785

Expedia, Inc. (a)(d)

211,060

4,487,136

FTD Group, Inc. (a)

8,626

166,999

Gaiam, Inc. Class A (a)

15,653

199,576

GSI Commerce, Inc. (a)

18,751

358,707

Hollywood Media Corp. (a)

26,946

119,910

Liberty Media Holding Corp. - Interactive Series A (a)

538,241

12,686,340

Netflix, Inc. (a)(d)

51,730

1,165,477

NutriSystem, Inc. (a)(d)

27,629

1,247,449

Overstock.com, Inc. (a)(d)

13,725

249,658

PC Mall, Inc. (a)

3,555

43,727

PetMed Express, Inc. (a)

20,357

257,516

PhotoWorks, Inc. (a)

1,628

847

Priceline.com, Inc. (a)(d)

27,799

1,456,946

RedEnvelope, Inc. (a)

5,119

41,976

Shutterfly, Inc.

6,700

110,617

Stamps.com, Inc. (a)

13,411

208,005

Systemax, Inc. (a)(d)

10,200

270,810

ValueVision Media, Inc. Class A (a)

31,268

391,163

Varsity Group, Inc. (a)

4,794

8,821

VistaPrint Ltd. (a)

31,303

1,165,098

26,918,353

Leisure Equipment & Products - 0.3%

Adams Golf, Inc. (a)

9,544

17,656

Aldila, Inc.

9,995

176,012

Arctic Cat, Inc.

8,551

158,792

Callaway Golf Co.

51,685

780,444

Cybex International, Inc. (a)

14,718

82,274

Escalade, Inc.

6,336

60,129

Fairchild Corp. Class A (a)

9,497

19,469

Gametech International, Inc. (a)

13,061

163,263

JAKKS Pacific, Inc. (a)

26,514

649,858

Johnson Outdoors, Inc. Class A (a)

1,929

35,166

K2, Inc. (a)

48,676

569,509

Leapfrog Enterprises, Inc. Class A (a)(d)

23,870

246,816

Marine Products Corp. (d)

11,382

105,625

MarineMax, Inc. (a)

11,754

267,991

Marvel Entertainment, Inc. (a)

51,478

1,430,574

Meade Instruments Corp. (a)

4,023

9,414

Nautilus, Inc.

27,540

475,065

Oakley, Inc.

21,127

443,244

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Leisure Equipment & Products - continued

Polaris Industries, Inc. (d)

29,234

$ 1,400,016

Pool Corp.

42,646

1,496,875

RC2 Corp. (a)

19,370

765,502

Smith & Wesson Holding Corp. (a)(d)

25,141

312,251

Steinway Musical Instruments, Inc.

7,201

230,792

Sturm Ruger & Co., Inc. (a)

29,607

311,170

10,207,907

Media - 3.5%

4Kids Entertainment, Inc. (a)

8,621

160,264

ACME Communications, Inc. (a)

6,362

36,963

ADVO, Inc.

28,368

935,577

Alloy, Inc. (a)

9,144

106,985

Arbitron, Inc.

25,809

1,156,501

Ballantyne of Omaha, Inc. (a)

30

165

Beasley Broadcast Group, Inc. Class A

4,117

36,024

Belo Corp. Series A

70,578

1,315,574

Cablevision Systems Corp. - NY Group Class A

182,604

5,379,514

Cadmus Communications Corp.

4,716

116,532

Carmike Cinemas, Inc. (d)

16,956

384,562

Catalina Marketing Corp.

29,141

912,113

Charter Communications, Inc. Class A (a)

365,261

1,099,436

Citadel Broadcasting Corp.

38,912

396,124

CKX, Inc. (a)(d)

43,732

575,513

Clear Channel Outdoor Holding, Inc. Class A (a)

29,300

812,196

Courier Corp.

8,268

315,838

Cox Radio, Inc. Class A (a)

34,485

498,653

Crown Media Holdings, Inc. Class A (a)(d)

4,844

20,054

Cumulus Media, Inc. Class A (a)(d)

33,745

331,713

DG FastChannel, Inc. (a)

15,369

231,150

Discovery Holding Co. Class A (a)

220,138

3,535,416

DreamWorks Animation SKG, Inc. Class A (a)

46,544

1,247,845

EchoStar Communications Corp. Class A (a)(d)

164,979

6,698,147

EMAK Worldwide, Inc. (a)

3,798

19,218

Emmis Communications Corp. Class A

24,658

202,689

Entercom Communications Corp. Class A

29,619

846,807

Entravision Communication Corp. Class A (a)

60,708

548,193

Fisher Communications, Inc. (a)

2,738

124,743

Franklin Electronic Publishers, Inc. (a)

2,339

5,543

GateHouse Media, Inc.

7,635

147,661

Gemstar-TV Guide International, Inc. (a)

221,834

898,428

Getty Images, Inc. (a)

38,439

2,016,126

Gray Television, Inc.

51,014

444,332

Harris Interactive, Inc. (a)

41,822

237,131

Harte-Hanks, Inc.

39,636

1,088,008

Hearst-Argyle Television, Inc.

22,579

587,957

Idearc, Inc.

115,775

3,936,350

Shares

Value

Image Entertainment, Inc. (a)

7,100

$ 23,714

Insignia Systems, Inc. (a)

4,959

16,613

Interactive Data Corp.

31,794

764,646

ION Media Networks, Inc.

15,438

19,606

John Wiley & Sons, Inc. Class A

35,176

1,354,628

Journal Communications, Inc. Class A

34,744

462,790

Journal Register Co.

48,545

344,670

Knology, Inc. (a)

30,013

427,685

Lakes Entertainment, Inc. (a)(d)

25,879

230,582

Lamar Advertising Co. Class A

63,639

4,076,078

Lee Enterprises, Inc.

35,207

1,121,695

Liberty Global, Inc. Class A (a)

323,815

9,322,634

Liberty Media Holding Corp. - Capital Series A (a)

114,064

12,305,224

LIN TV Corp. Class A (a)

30,902

418,722

Live Nation, Inc. (a)

45,238

1,046,807

LodgeNet Entertainment Corp. (a)

13,711

350,453

Martha Stewart Living Omnimedia, Inc. Class A

21,694

403,942

Media General, Inc. Class A

21,102

866,026

Mediacom Communications Corp. Class A (a)

39,749

317,992

Morningstar, Inc. (a)

9,196

471,111

National CineMedia, Inc.

36,721

962,825

National Lampoon, Inc. (a)

1,200

2,160

Navarre Corp. (a)(d)

29,406

112,625

New Frontier Media, Inc.

31,250

283,438

Nexstar Broadcasting Group, Inc. Class A (a)

3,834

29,292

NTN Communications, Inc. (a)

16,316

23,169

Outdoor Channel Holdings, Inc. (a)

22,403

244,417

Playboy Enterprises, Inc. Class B (non-vtg.) (a)

17,049

176,287

Point.360 (a)

2,433

8,516

PRIMEDIA, Inc. (a)

156,174

385,750

ProQuest Co. (a)

21,918

239,564

R.H. Donnelley Corp.

56,100

4,013,955

Radio One, Inc. Class A (a)

82,131

576,560

RCN Corp. (a)

32,607

891,801

Reading International, Inc. Class A (a)

10,681

88,439

Regal Entertainment Group Class A

47,091

1,006,335

Regent Communication, Inc. (a)

13,099

38,642

Rentrak Corp. (a)

6,275

93,372

Saga Communications, Inc. Class A (a)

5,932

57,718

Salem Communications Corp. Class A

6,831

81,767

Scholastic Corp. (a)

27,765

965,944

Sinclair Broadcast Group, Inc. Class A

42,947

613,713

Sirius Satellite Radio, Inc. (a)(d)

1,052,509

3,841,658

Spanish Broadcasting System, Inc. Class A

67,440

304,154

SPAR Group, Inc. (a)

4,346

4,737

Sun-Times Media Group, Inc. Class A

38,534

153,751

The McClatchy Co. Class A

44,887

1,679,672

The Reader's Digest Association, Inc. (non-vtg.)

72,743

1,234,449

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Media - continued

theglobe.com, Inc. (a)

7,111

$ 498

TiVo, Inc. (a)(d)

88,430

519,084

Traffix, Inc.

3,088

16,274

Triple Crown Media, Inc. (a)

2,789

23,958

Valassis Communications, Inc. (a)

47,531

790,916

Value Line, Inc.

523

23,279

Virgin Media, Inc.

211,229

5,536,312

Warner Music Group Corp.

31,941

636,904

Washington Post Co. Class B

4,394

3,365,804

Westwood One, Inc.

53,716

366,880

World Wrestling Entertainment, Inc. Class A

21,245

338,220

WorldSpace, Inc. Class A (a)(d)

15,523

61,005

WPT Enterprises, Inc. (a)

6,993

33,357

XM Satellite Radio Holdings, Inc. Class A (d)

237,548

3,411,189

Young Broadcasting, Inc. Class A (a)

4,865

18,487

105,008,540

Multiline Retail - 0.2%

99 Cents Only Stores (a)

34,348

512,816

Conn's, Inc. (a)(d)

13,453

340,495

Dollar Tree Stores, Inc. (a)

80,979

2,762,194

Duckwall-ALCO Stores, Inc. (a)

5,890

229,710

Fred's, Inc. Class A

37,592

514,259

Gottschalks, Inc. (a)

13,746

152,856

Retail Ventures, Inc. (a)

21,851

444,668

Saks, Inc.

96,620

1,866,698

The Bon-Ton Stores, Inc.

10,212

500,592

Tuesday Morning Corp. (d)

23,697

372,991

7,697,279

Specialty Retail - 3.1%

A.C. Moore Arts & Crafts, Inc. (a)(d)

12,456

243,888

Aaron Rents, Inc.

38,834

1,062,498

Abercrombie & Fitch Co. Class A

68,609

5,363,166

Advance Auto Parts, Inc.

83,480

3,143,022

Aeropostale, Inc. (a)

44,575

1,633,228

America's Car Mart, Inc. (a)(d)

3,022

34,662

American Eagle Outfitters, Inc.

157,329

4,885,065

AnnTaylor Stores Corp. (a)

63,417

2,250,669

Asbury Automotive Group, Inc.

27,035

722,105

Barnes & Noble, Inc.

40,968

1,677,230

bebe Stores, Inc.

17,437

320,492

Big 5 Sporting Goods Corp.

20,787

496,601

Big Dog Holdings, Inc. (a)

2,572

40,818

Blockbuster, Inc. Class A (d)

131,000

869,840

Books-A-Million, Inc.

7,672

122,445

Borders Group, Inc. (d)

49,515

1,058,631

Build-A-Bear Workshop, Inc. (a)(d)

10,085

267,253

Cabela's, Inc. Class A (a)(d)

36,939

918,304

Cache, Inc. (a)

10,279

231,175

CarMax, Inc. (a)

85,358

4,498,367

Shares

Value

Casual Male Retail Group, Inc. (a)

25,375

$ 317,188

Charlotte Russe Holding, Inc. (a)

19,130

558,405

Charming Shoppes, Inc. (a)

100,759

1,256,465

Chico's FAS, Inc. (a)(d)

145,139

3,255,468

Christopher & Banks Corp.

28,650

532,031

Citi Trends, Inc. (a)

4,152

173,927

Claire's Stores, Inc.

72,972

2,345,320

Cost Plus, Inc. (a)(d)

14,259

153,142

CSK Auto Corp. (a)

40,616

702,251

Deb Shops, Inc.

3,517

94,220

Dick's Sporting Goods, Inc. (a)(d)

28,218

1,476,930

Dress Barn, Inc. (a)

33,767

709,782

DSW, Inc. Class A (a)(d)

16,555

663,028

E Com Ventures, Inc. (a)

1,076

28,428

Eddie Bauer Holdings, Inc. (a)(d)

21,491

189,551

Emerging Vision, Inc. (a)

5,700

1,197

Finish Line, Inc. Class A

30,747

390,794

Finlay Enterprises, Inc. (a)

2,122

18,292

Foot Locker, Inc.

128,359

2,916,316

Franklin Covey Co. (a)

19,359

151,194

Gamestop Corp. Class A (a)

54,194

2,840,849

Gander Mountain Co. (a)(d)

2,718

27,805

Genesco, Inc.

16,592

663,680

Group 1 Automotive, Inc.

15,974

739,117

Guess?, Inc.

25,776

2,100,228

Guitar Center, Inc. (a)(d)

25,492

1,116,805

Gymboree Corp. (a)

23,771

895,929

Hancock Fabrics, Inc. (a)

6,826

21,980

Haverty Furniture Companies, Inc.

20,972

306,401

Hibbett Sports, Inc. (a)

27,021

842,515

Hot Topic, Inc. (a)

39,517

421,251

J. Crew Group, Inc.

31,379

1,130,899

Jo-Ann Stores, Inc. (a)

24,709

556,694

Jos. A. Bank Clothiers, Inc. (a)(d)

13,804

425,439

Kirkland's, Inc. (a)

4,549

24,747

Lithia Motors, Inc. Class A (sub. vtg.)

14,522

427,818

Midas, Inc. (a)

9,230

191,338

Monro Muffler Brake, Inc.

16,892

614,362

Mothers Work, Inc. (a)

6,765

233,866

Movie Gallery, Inc. (a)(d)

14,422

69,947

New York & Co., Inc. (a)

16,878

244,225

O'Reilly Automotive, Inc. (a)

90,149

3,103,830

Pacific Sunwear of California, Inc. (a)

59,172

1,065,096

Payless ShoeSource, Inc. (a)

55,731

1,722,088

PETsMART, Inc.

110,466

3,348,224

Pick Ups Plus, Inc. (a)

73

0

Pier 1 Imports, Inc.

85,092

577,775

Pomeroy IT Solutions, Inc. (a)

3,930

28,886

Refac (a)

11,600

69,368

Rent-A-Center, Inc. (a)

57,768

1,635,990

Restoration Hardware, Inc. (a)(d)

42,873

286,392

Rex Stores Corp. (a)

2,776

46,220

Ross Stores, Inc.

109,219

3,579,107

Sally Beauty Holdings, Inc. (a)

77,094

697,701

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Specialty Retail - continued

Select Comfort Corp. (d)

47,386

$ 878,063

Sharper Image Corp. (a)

4,600

47,748

Shoe Carnival, Inc. (a)

10,052

303,470

Sonic Automotive, Inc. Class A (sub. vtg.)

26,246

771,632

Stage Stores, Inc.

34,470

755,927

Stein Mart, Inc.

22,556

327,739

Syms Corp. (a)

6,463

124,090

Talbots, Inc.

18,650

470,726

The Bombay Company, Inc. (a)

12,084

15,588

The Buckle, Inc.

10,867

374,694

The Cato Corp. Class A (sub. vtg.)

25,770

563,332

The Children's Place Retail Stores, Inc. (a)

20,849

1,135,437

The Men's Wearhouse, Inc.

39,370

1,743,304

The Pep Boys - Manny, Moe & Jack

37,359

565,989

Tractor Supply Co. (a)(d)

27,560

1,410,245

Trans World Entertainment Corp. (a)

16,560

88,596

TravelCenters of America LLC (a)

6,036

219,107

Tween Brands, Inc. (a)

27,587

988,994

Tweeter Home Entertainment Group, Inc. (a)

5,520

8,059

United Auto Group, Inc.

33,188

728,808

United Retail Group, Inc. (a)

11,550

159,737

Urban Outfitters, Inc. (a)

92,617

2,298,754

West Marine, Inc. (a)(d)

18,151

304,211

Wet Seal, Inc. Class A (a)

80,362

482,976

Williams-Sonoma, Inc.

69,922

2,360,567

Wilsons Leather Experts, Inc. (a)

22,999

42,778

Winmark Corp. (a)

2,614

45,850

Zale Corp. (a)

40,254

1,036,943

Zumiez, Inc. (a)

13,408

456,006

94,539,330

Textiles, Apparel & Luxury Goods - 0.9%

Ashworth, Inc. (a)

4,840

38,817

Brown Shoe Co., Inc.

23,658

1,213,655

Carter's, Inc. (a)

43,284

1,040,115

Charles & Colvard Ltd.

5,525

40,719

Cherokee, Inc.

10,151

444,614

Columbia Sportswear Co.

11,813

750,952

Crocs, Inc. (d)

29,703

1,447,130

Culp, Inc. (a)

4,772

31,543

Cutter & Buck, Inc.

14,375

186,731

Deckers Outdoor Corp. (a)

7,253

472,896

Delta Apparel, Inc.

6,654

116,112

Delta Woodside Industries, Inc. (a)

200

2

Everlast Worldwide, Inc. (a)

200

3,780

Forward Industries, Inc. (NY Shares) (a)

5,267

22,437

Fossil, Inc. (a)

36,621

985,837

G-III Apparel Group Ltd. (a)

6,864

142,771

Hanesbrands, Inc. (a)

81,036

2,318,440

Hartmarx Corp. (a)

38,879

256,990

Heelys, Inc.

6,073

202,717

Shares

Value

Iconix Brand Group, Inc. (a)

39,222

$ 860,138

Innovo Group, Inc. (a)

3,410

3,683

K-Swiss, Inc. Class A

24,306

685,186

Kellwood Co.

18,957

597,714

Kenneth Cole Productions, Inc. Class A (sub. vtg.)

6,696

171,083

Maidenform Brands, Inc. (a)

15,537

284,482

Movado Group, Inc.

17,220

508,162

Oxford Industries, Inc.

10,835

535,141

Perry Ellis International, Inc. (a)

13,045

398,525

Phillips-Van Heusen Corp.

41,424

2,271,692

Quaker Fabric Corp. (a)

5,848

6,901

Quiksilver, Inc. (a)

96,070

1,339,216

Rocky Brands, Inc. (a)

2,631

38,570

Samsonite Corp.

230,193

230,193

Skechers U.S.A., Inc. Class A
(sub. vtg.) (a)

23,018

803,789

Steven Madden Ltd.

18,811

556,053

Stride Rite Corp.

28,006

452,297

Superior Uniform Group, Inc.

4,343

55,764

Tandy Brands Accessories, Inc.

1,058

13,373

Tarrant Apparel Group (a)

9,692

18,899

Timberland Co. Class A (a)

46,306

1,255,819

True Religion Apparel, Inc. (a)

10,785

183,129

Under Armour, Inc. Class A
(sub. vtg.) (a)(d)

24,171

1,110,657

Unifi, Inc. (a)

31,529

85,444

Unifirst Corp.

11,389

475,149

Volcom, Inc. (a)

13,237

482,886

Warnaco Group, Inc. (a)

38,778

1,012,881

Weyco Group, Inc.

9,210

235,776

Wolverine World Wide, Inc.

47,070

1,306,193

Xerium Technologies, Inc.

21,467

219,178

25,914,231

TOTAL CONSUMER DISCRETIONARY

452,129,190

CONSUMER STAPLES - 2.8%

Beverages - 0.1%

Boston Beer Co., Inc. Class A (a)

12,401

406,629

Coca-Cola Bottling Co. Consolidated

4,034

236,110

Hansen Natural Corp. (a)

58,341

2,041,935

Jones Soda Co. (a)(d)

14,150

174,187

MGP Ingredients, Inc. (d)

12,581

249,607

National Beverage Corp. (d)

11,130

145,135

PepsiAmericas, Inc.

56,457

1,203,099

Vermont Pure Holdings Ltd. (a)

4,384

7,935

4,464,637

Food & Staples Retailing - 0.5%

Andersons, Inc.

15,227

640,752

Arden Group, Inc. Class A

749

91,947

BJ's Wholesale Club, Inc. (a)

54,747

1,767,233

Casey's General Stores, Inc.

43,710

1,093,187

Central European Distribution Corp. (a)

22,485

611,142

Common Stocks - continued

Shares

Value

CONSUMER STAPLES - continued

Food & Staples Retailing - continued

Ingles Markets, Inc. Class A

12,038

$ 459,611

Longs Drug Stores Corp.

25,469

1,173,102

Nash-Finch Co.

9,067

272,554

Pathmark Stores, Inc. (a)

20,086

229,583

Performance Food Group Co. (a)

25,594

754,255

Pricesmart, Inc.

21,057

306,169

Rite Aid Corp. (d)

403,530

2,409,074

Ruddick Corp.

28,549

808,793

Smart & Final, Inc. (a)

8,436

180,952

Spartan Stores, Inc.

26,862

633,675

Susser Holdings Corp.

5,293

95,380

The Great Atlantic & Pacific Tea Co. (d)

13,027

414,259

The Pantry, Inc. (a)

16,799

792,073

Topps Co., Inc.

25,992

238,087

United Natural Foods, Inc. (a)

32,351

963,413

Village Super Market, Inc. Class A

1,000

77,860

Weis Markets, Inc.

10,603

461,231

Wild Oats Markets, Inc. (a)(d)

19,713

362,522

Winn-Dixie Stores, Inc. (a)

42,119

816,687

15,653,541

Food Products - 1.3%

Alico, Inc.

3,393

161,371

Bridgford Foods Corp. (a)

4,789

36,684

Bunge Ltd.

96,916

7,691,254

Cal-Maine Foods, Inc.

15,000

193,200

Calavo Growers, Inc.

7,029

76,476

Chiquita Brands International, Inc.

41,815

606,318

Corn Products International, Inc.

58,394

1,866,856

Darling International, Inc. (a)

75,439

414,915

Del Monte Foods Co.

166,155

1,910,783

Delta & Pine Land Co.

29,227

1,196,553

Diamond Foods, Inc.

17,088

285,370

Farmer Brothers Co.

6,050

128,684

Flowers Foods, Inc.

44,012

1,293,513

Fresh Del Monte Produce, Inc.

27,260

484,410

Galaxy Nutritional Foods, Inc. (a)

5,579

3,794

Green Mountain Coffee Roasters, Inc. (a)(d)

6,233

349,609

Griffin Land & Nurseries, Inc. (a)

1,112

41,611

Hain Celestial Group, Inc. (a)

35,008

1,015,582

Hines Horticulture, Inc. (a)

5,290

8,411

Hormel Foods Corp.

56,018

2,044,657

Imperial Sugar Co.

5,134

158,487

J&J Snack Foods Corp.

13,008

516,288

John B. Sanfilippo & Son, Inc. (a)

4,719

66,774

Kraft Foods, Inc. Class A (d)

209,273

6,679,994

Lancaster Colony Corp.

20,111

851,701

Lance, Inc.

24,450

488,022

Lifeway Foods, Inc. (a)(d)

9,724

91,697

Maui Land & Pineapple, Inc. (a)

3,029

93,142

Shares

Value

Monterey Gourmet Foods, Inc. (a)

4,304

$ 19,067

Omega Protein Corp. (a)

5,131

34,172

Peet's Coffee & Tea, Inc. (a)

10,925

276,949

Pilgrims Pride Corp. Class B

35,403

1,084,748

Premium Standard Farms, Inc.

13,982

290,686

Ralcorp Holdings, Inc. (a)

23,029

1,336,143

Reddy Ice Holdings, Inc.

14,055

379,204

Sanderson Farms, Inc. (d)

13,826

447,271

Seaboard Corp.

345

741,750

Smithfield Foods, Inc. (a)

91,195

2,663,806

Tasty Baking Co.

4,304

39,382

The Inventure Group, Inc. (a)

3,448

9,551

The J.M. Smucker Co.

42,193

2,092,773

Tootsie Roll Industries, Inc.

19,338

584,394

TreeHouse Foods, Inc. (a)

23,604

680,975

Zapata Corp. (a)

6,888

47,596

39,484,623

Household Products - 0.3%

Central Garden & Pet Co. (a)

62,993

878,752

Church & Dwight Co., Inc.

55,043

2,639,312

Energizer Holdings, Inc. (a)

42,807

3,677,977

Katy Industries, Inc. (a)

1,778

3,663

Oil-Dri Corp. of America

5,650

100,062

Orchids Paper Products Co. (d)

7,624

63,660

Spectrum Brands, Inc. (a)(d)

28,099

248,114

WD-40 Co.

12,405

395,720

8,007,260

Personal Products - 0.3%

Alberto-Culver Co.

67,932

1,504,694

Bare Escentuals, Inc.

12,848

446,982

Carrington Laboratories, Inc. (a)

5,146

15,387

Chattem, Inc. (a)

11,478

612,581

Elizabeth Arden, Inc. (a)

27,122

590,717

Herbalife Ltd. (a)

34,476

1,298,021

Integrated Biopharma, Inc. (a)

2,198

12,814

Inter Parfums, Inc.

7,365

142,218

Mannatech, Inc. (d)

7,829

116,182

MediFast, Inc. (a)

7,496

63,866

Natural Health Trends Corp. (a)

8,588

17,176

NBTY, Inc. (a)

47,779

2,325,882

Nu Skin Enterprises, Inc. Class A

41,550

705,104

Parlux Fragrances, Inc. (d)

13,118

78,708

Physicians Formula Holdings, Inc.

5,548

112,236

Playtex Products, Inc. (a)

45,137

618,828

Prestige Brands Holdings, Inc. (a)

32,948

377,584

Reliv International, Inc.

10,690

112,673

Revlon, Inc. Class A (sub. vtg.)

149,994

188,992

Schiff Nutrition International, Inc. (a)

11,731

79,653

USANA Health Sciences, Inc. (a)

7,765

450,914

9,871,212

Tobacco - 0.3%

Alliance One International, Inc. (a)

73,751

620,246

Common Stocks - continued

Shares

Value

CONSUMER STAPLES - continued

Tobacco - continued

Loews Corp. - Carolina Group

84,611

$ 6,094,530

Star Scientific, Inc. (a)(d)

42,163

40,476

Universal Corp.

21,859

1,151,314

Vector Group Ltd. (d)

32,218

587,656

8,494,222

TOTAL CONSUMER STAPLES

85,975,495

ENERGY - 7.9%

Energy Equipment & Services - 2.5%

Allis-Chalmers Energy, Inc. (a)

17,948

294,527

Atwood Oceanics, Inc. (a)

20,360

1,030,216

Basic Energy Services, Inc. (a)

13,590

309,444

Bolt Technology Corp. (a)

6,415

160,375

Bristow Group, Inc. (a)

20,474

750,372

Bronco Drilling Co., Inc. (a)

9,444

141,849

Cal Dive International, Inc.

18,160

221,007

Cameron International Corp. (a)

87,192

4,942,914

Carbo Ceramics, Inc.

15,457

666,506

Complete Production Services, Inc.

30,248

581,064

Dawson Geophysical Co. (a)

4,846

204,065

Diamond Offshore Drilling, Inc.

52,127

4,056,523

Dresser-Rand Group, Inc. (a)

56,408

1,464,916

Dril-Quip, Inc. (a)

17,606

679,239

ENGlobal Corp. (a)

5,236

31,835

FMC Technologies, Inc. (a)

55,352

3,641,055

Global Industries Ltd. (a)

70,330

1,038,071

GlobalSantaFe Corp.

188,498

10,863,140

Grant Prideco, Inc. (a)

105,004

4,558,224

Grey Wolf, Inc. (a)

148,450

993,131

Gulf Island Fabrication, Inc.

8,203

281,035

Gulfmark Offshore, Inc. (a)

14,032

555,106

Hanover Compressor Co. (a)

76,155

1,671,602

Helmerich & Payne, Inc.

80,454

2,188,349

Hercules Offshore, Inc. (a)

25,268

672,887

Horizon Offshore, Inc. (a)

17,908

296,915

Hornbeck Offshore Services, Inc. (a)

22,809

610,597

Hydril Co. (a)

15,784

1,501,848

Hyperdynamics Corp. (a)

30,744

63,025

Infinity Energy Resources, Inc. (a)

5,988

19,940

Input/Output, Inc. (a)(d)

63,629

863,446

Lone Star Technologies, Inc. (a)

23,299

1,107,401

Lufkin Industries, Inc.

12,500

673,000

Matrix Service Co. (a)(d)

16,669

298,875

Metretek Technologies, Inc. (a)(d)

10,994

133,687

Mitcham Industries, Inc. (a)

6,187

84,638

NATCO Group, Inc. Class A (a)

10,044

348,025

Natural Gas Services Group, Inc. (a)

9,872

130,310

Newpark Resources, Inc. (a)

63,182

385,410

Oceaneering International, Inc. (a)

42,075

1,659,438

Oil States International, Inc. (a)

36,367

1,067,371

Shares

Value

Omni Energy Services Corp. (a)

11,673

$ 106,341

Parker Drilling Co. (a)

98,922

847,762

Particle Drilling Technologies, Inc. (a)

18,049

72,196

Patterson-UTI Energy, Inc.

132,115

2,944,843

PHI, Inc. (non-vtg.) (a)

12,064

337,551

Pioneer Drilling Co. (a)

49,528

597,308

Pride International, Inc. (a)

134,037

3,860,266

Royale Energy, Inc.

5,582

19,649

RPC, Inc.

32,667

488,372

SEACOR Holdings, Inc. (a)

17,921

1,734,753

Sulphco, Inc. (a)(d)

32,734

104,749

Superior Energy Services, Inc. (a)

65,948

2,021,306

Superior Well Services, Inc. (a)

8,767

198,836

T-3 Energy Services, Inc. (a)

4,721

100,180

TETRA Technologies, Inc.

57,906

1,287,250

TGC Industries, Inc.

12,138

96,618

Tidewater, Inc.

45,232

2,350,707

TODCO Class A (a)

51,572

1,757,574

Trico Marine Services, Inc. (a)

12,275

447,301

Union Drilling, Inc. (a)

10,737

130,455

Unit Corp. (a)

35,492

1,737,333

Universal Compression Holdings, Inc. (a)

24,348

1,630,099

W-H Energy Services, Inc. (a)

25,991

1,091,622

75,204,449

Oil, Gas & Consumable Fuels - 5.4%

Abraxas Petroleum Corp. (a)

25,751

78,798

Adams Resources & Energy, Inc.

12,021

448,504

Alliance Holdings GP, LP

13,326

305,032

Alliance Resource Partners LP

16,595

575,847

Alon USA Energy, Inc.

26,000

731,900

Alpha Natural Resources, Inc. (a)

50,090

722,799

American Oil & Gas, Inc. NV (a)(d)

26,960

157,716

APCO Argentina, Inc.

2,706

241,511

Arch Coal, Inc.

118,376

3,686,229

Arena Resources, Inc. (a)

8,160

368,506

Arlington Tankers Ltd.

14,838

346,171

Atlas America, Inc. (a)

14,290

763,229

Atlas Pipeline Partners, LP

10,151

487,756

ATP Oil & Gas Corp. (a)(d)

14,552

599,542

Aurora Oil & Gas Corp. (a)(d)

68,197

167,765

Aventine Renewable Energy Holdings, Inc. (d)

24,729

395,169

Barnwell Industries, Inc.

3,174

66,337

Berry Petroleum Co. Class A

34,508

1,044,902

Bill Barrett Corp. (a)

27,114

797,694

Boardwalk Pipeline Partners, LP

28,197

1,034,830

Bois d'Arc Energy LLC (a)

20,456

278,406

BP Prudhoe Bay Royalty Trust (d)

10,630

654,702

Brigham Exploration Co. (a)

34,475

204,092

Buckeye GP Holdings LP

4,396

85,063

Buckeye Partners LP

24,995

1,228,504

Cabot Oil & Gas Corp.

38,837

2,623,828

Callon Petroleum Co. (a)

15,101

201,145

Common Stocks - continued

Shares

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Calumet Specialty Products Partners LP

7,866

$ 323,214

Cano Petroleum, Inc. (a)

10,000

46,000

Carrizo Oil & Gas, Inc. (a)

17,178

528,739

Cheniere Energy, Inc. (a)(d)

42,903

1,201,284

Cimarex Energy Co.

76,001

2,653,195

Clayton Williams Energy, Inc. (a)

4,863

149,440

CNX Gas Corp. (a)(d)

19,710

476,785

Comstock Resources, Inc. (a)

37,338

1,002,525

Contango Oil & Gas Co. (a)(d)

11,192

242,866

Copano Energy LLC

14,952

988,028

CREDO Petroleum Corp. (a)

9,108

114,214

Cross Timbers Royalty Trust

1,715

76,146

Crosstex Energy LP

10,928

410,674

Crosstex Energy, Inc. (d)

36,000

1,168,200

DCP Midstream Partners LP

8,428

311,667

Delek US Holdings, Inc.

23,193

384,076

Delta Petroleum Corp. (a)

40,436

808,720

Denbury Resources, Inc. (a)

92,499

2,667,671

Dorchester Minerals LP

21,735

469,259

Double Eagle Petroleum Co. (a)

8,444

153,174

Double Hull Tankers, Inc.

13,844

201,153

Edge Petroleum Corp. (a)

24,338

305,929

Enbridge Energy Management LLC

7,071

361,045

Enbridge Energy Partners LP

37,838

1,998,225

Encore Acquisition Co. (a)

41,787

1,014,170

Endeavor International Corp. (a)

74,100

153,387

Energy Partners Ltd. (a)

25,661

556,844

Energy Transfer Equity LP

26,228

883,884

Energy Transfer Partners LP

62,759

3,461,786

Enterprise GP Holdings LP

6,986

256,246

Enterprise Products Partners LP

234,946

7,168,202

Evergreen Energy, Inc. (a)(d)

63,376

497,502

EXCO Resources, Inc.

74,098

1,290,787

Forest Oil Corp. (a)(d)

41,441

1,321,968

Foundation Coal Holdings, Inc.

35,383

1,164,808

Frontier Oil Corp.

92,000

2,718,600

FX Energy, Inc. (a)(d)

24,929

182,231

Gasco Energy, Inc. (a)(d)

60,806

126,476

General Maritime Corp.

25,371

1,087,401

Genesis Energy LP

11,331

222,654

Geomet, Inc. (d)

18,693

154,030

Giant Industries, Inc. (a)

17,000

1,284,180

GMX Resources, Inc. (a)

6,855

222,445

Goodrich Petroleum Corp.

12,161

416,028

Green Plains Renewable Energy, Inc. (a)(d)

3,244

67,410

GSV, Inc. (a)

700

133

Gulfport Energy Corp. (a)

14,910

177,429

Harken Energy Corp. (a)

45,664

19,636

Harvest Natural Resources, Inc. (a)

30,944

292,421

Helix Energy Solutions Group, Inc. (a)

68,995

2,316,162

Shares

Value

Hiland Partners LP

2,430

$ 131,803

Holly Corp.

43,154

2,393,752

Holly Energy Partners LP

6,668

307,528

Houston Exploration Co. (a)

21,869

1,146,373

Hugoton Royalty Trust

28,636

697,287

Inergy Holdings LP

5,264

218,719

Inergy LP

30,880

958,206

International Coal Group, Inc. (a)(d)

118,649

606,296

James River Coal Co. (a)(d)

9,436

70,015

K-Sea Transn Partners L P

4,670

184,465

Kinder Morgan Energy Partners LP

115,999

5,877,669

Kinder Morgan Management LLC

45,702

2,285,557

Linn Energy LLC (d)

14,020

462,940

Magellan Midstream Holdings LP

16,924

412,946

Magellan Midstream Partners LP

45,585

1,919,129

Mariner Energy, Inc. (a)

66,175

1,224,238

Markwest Energy Partners LP

11,066

718,183

Markwest Hydrocarbon, Inc.

13,932

872,979

Martin Midstream Partners LP

4,000

145,000

Massey Energy Co. (d)

70,107

1,700,796

McMoRan Exploration Co. (d)

30,590

391,246

Meridian Resource Corp. (a)

58,885

151,923

National Energy Group, Inc.

5,079

22,856

Natural Resource Partners LP

12,239

771,547

Newfield Exploration Co. (a)

100,630

4,349,229

NGAS Resources, Inc. (a)(d)

16,181

107,604

Noble Energy, Inc.

144,389

8,312,475

OMI Corp.

51,773

1,152,985

ONEOK Partners LP

41,451

2,683,538

Overseas Shipholding Group, Inc.

25,557

1,548,243

Pacific Ethanol, Inc. (a)(d)

24,747

410,305

Panhandle Royalty Co. Class A

14,442

275,409

Parallel Petroleum Corp. (a)

26,265

502,975

Penn Virginia Corp.

15,925

1,109,654

Penn Virginia Resource Partners LP

21,949

593,940

Petrohawk Energy Corp. (a)

139,701

1,672,221

Petroleum Development Corp. (a)

11,924

624,460

Petroquest Energy, Inc. (a)

30,204

347,648

Pioneer Natural Resources Co.

108,212

4,160,751

Plains Exploration & Production Co. (a)

62,280

2,841,836

Pogo Producing Co.

44,312

2,117,670

PrimeEnergy Corp. (a)

1,965

108,075

Quest Resource Corp. (d)

16,547

139,326

Quicksilver Resources, Inc. (a)

42,930

1,655,810

Range Resources Corp.

116,579

3,722,367

Regency Energy Partners LP

10,923

300,601

Rentech, Inc. (a)(d)

94,996

324,886

Rio Vista Energy Partners LP

601

5,139

Rosetta Resources, Inc. (a)

43,711

802,971

Ship Finance International Ltd.
(NY Shares) (d)

36,149

939,874

Southwestern Energy Co. (a)

133,293

5,198,427

St. Mary Land & Exploration Co.

44,616

1,606,622

Stone Energy Corp. (a)

21,141

649,029

Common Stocks - continued

Shares

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Sunoco Logistics Partners LP

12,042

$ 675,556

Swift Energy Co. (a)

21,517

835,720

Syntroleum Corp. (a)(d)

20,072

63,428

TC Pipelines LP

11,375

412,003

Teekay LNG Partners LP

13,806

508,199

Teekay Shipping Corp.

31,916

1,582,714

TEPPCO Partners LP

48,298

2,064,257

Tesoro Corp.

55,117

5,023,363

The Exploration Co. of Delaware, Inc. (a)

25,348

288,967

Toreador Resources Corp. (a)

15,374

369,130

Transmeridian Exploration, Inc. (a)(d)

56,402

226,172

Tri-Valley Corp. (a)(d)

35,638

279,402

Ultra Petroleum Corp. (a)

123,537

6,276,915

Uranerz Energy Corp. (a)(d)

28,590

147,524

USEC, Inc. (a)

74,442

1,055,588

Vaalco Energy, Inc. (a)

42,892

275,796

Valero GP Holdings LLC (d)

26,275

692,084

Valero LP

28,344

1,785,672

Venoco, Inc.

10,951

166,455

VeraSun Energy Corp. (d)

24,625

426,751

W&T Offshore, Inc.

21,843

655,727

Warren Resources, Inc. (a)

37,453

419,848

Western Refining, Inc.

39,393

1,138,852

Westmoreland Coal Co.

7,132

159,258

Whiting Petroleum Corp.

30,926

1,197,145

Whittier Energy Corp. (a)

10,000

109,400

Williams Partners LP

14,931

645,019

World Fuel Services Corp.

28,500

1,285,350

163,096,844

TOTAL ENERGY

238,301,293

FINANCIALS - 24.3%

Capital Markets - 1.6%

A.G. Edwards, Inc.

65,316

4,193,940

ACA Capital Holdings, Inc.

12,022

180,450

Affiliated Managers Group, Inc. (a)(d)

25,470

2,890,845

AllianceBernstein Holding LP

20,128

1,726,982

BlackRock, Inc. Class A

11,869

1,887,646

Calamos Asset Management, Inc. Class A

22,301

580,272

Cohen & Steers, Inc.

10,367

433,652

Cowen Group, Inc.

10,541

209,133

Diamond Hill Investment Group, Inc. (a)

2,300

229,402

Eaton Vance Corp. (non-vtg.)

110,330

3,827,348

Epoch Holding Corp. (a)

5,333

52,530

Evercore Partners, Inc. Class A

4,709

151,112

FirstCity Financial Corp. (a)

5,260

58,228

GAMCO Investors, Inc. Class A

5,578

217,598

GFI Group, Inc. (a)

14,892

917,496

Greenhill & Co., Inc.

9,578

645,366

Shares

Value

HFF, Inc.

11,711

$ 218,996

International Assets Holding Corp. (a)

2,986

51,867

Investment Technology Group, Inc. (a)

34,108

1,396,040

Investors Financial Services Corp.

54,531

3,192,245

Jefferies Group, Inc.

86,916

2,351,078

KBW, Inc.

4,596

160,584

Knight Capital Group, Inc. Class A (a)

88,635

1,401,319

LaBranche & Co., Inc. (a)(d)

42,155

365,484

Ladenburg Thalmann Financial Services, Inc. (a)(d)

49,489

141,044

Lazard Ltd. Class A

39,249

2,020,931

MarketAxess Holdings, Inc. (a)

23,992

336,368

MCF Corp. (a)

10,677

52,317

National Holdings Corp. (a)

1,000

1,800

Nuveen Investments, Inc. Class A

65,661

3,197,034

optionsXpress Holdings, Inc.

35,958

834,585

Penson Worldwide, Inc.

11,530

312,694

Piper Jaffray Companies (a)

14,962

974,176

Raymond James Financial, Inc.

68,092

2,049,569

Sanders Morris Harris Group, Inc.

12,371

130,885

SEI Investments Co.

61,923

3,743,245

Siebert Financial Corp.

7,668

29,829

Stifel Financial Corp. (a)(d)

6,506

310,011

SWS Group, Inc.

22,294

587,670

TD Ameritrade Holding Corp.

214,879

3,438,064

Thomas Weisel Partners Group, Inc.

17,034

310,359

TradeStation Group, Inc. (a)

36,944

436,678

W.P. Carey & Co. LLC

25,325

816,985

W.P. Stewart & Co. Ltd. (d)

19,230

212,876

Waddell & Reed Financial, Inc. Class A

69,327

1,690,192

Westwood Holdings Group, Inc.

3,071

73,520

49,040,445

Commercial Banks - 4.7%

1st Source Corp.

7,209

189,669

Abigail Adams National Bancorp, Inc.

3,050

43,768

Abington Community Bancorp, Inc.

10,420

202,252

Alabama National Bancorp, Delaware

19,697

1,428,820

Amcore Financial, Inc.

18,595

608,242

American National Bankshares, Inc.

2,434

54,668

AmericanWest Bancorp

6,795

145,685

Ameris Bancorp

15,734

385,326

AmeriServ Financial, Inc. (a)

8,597

39,804

Ames National Corp. (d)

14,284

306,535

Arrow Financial Corp.

6,125

137,200

Associated Banc-Corp.

97,927

3,386,316

BancFirst Corp.

7,680

361,037

Bancorp, Inc., Delaware (a)

13,627

335,633

BancorpSouth, Inc.

60,585

1,508,567

BancTrust Financial Group, Inc.

9,140

202,817

Bank of Florida Corp. (a)

9,353

177,520

Bank of Granite Corp.

16,693

299,973

Bank of Hawaii Corp.

40,866

2,113,590

Bank of Marin, California

4,442

168,796

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Commercial Banks - continued

Bank of the Ozarks, Inc.

12,728

$ 382,476

BankFinancial Corp.

14,566

254,322

Banner Corp.

12,592

525,212

Bar Harbor Bankshares

2,569

82,002

BOK Financial Corp.

16,857

845,041

Boston Private Financial Holdings, Inc.

28,731

828,889

Bryn Mawr Bank Corp.

2,058

47,807

Cadence Financial Corp.

15,524

320,881

Camden National Corp.

2,896

128,524

Capital Bank Corp.

4,787

87,315

Capital City Bank Group, Inc.

9,046

302,770

Capital Corp. of the West

8,704

248,586

Capitol Bancorp Ltd.

14,433

580,928

Cardinal Financial Corp.

17,899

181,854

Cascade Bancorp (d)

20,935

544,729

Cascade Financial Corp.

9,915

175,496

Cathay General Bancorp

44,497

1,509,783

Centennial Bank Holdings, Inc., Delaware (a)

46,113

392,422

Center Bancorp, Inc. (d)

9,529

150,082

Center Financial Corp., California

17,368

374,975

Central Pacific Financial Corp.

27,843

1,049,403

Century Bancorp, Inc. Class A (non-vtg.)

2,001

53,527

Chemical Financial Corp.

19,387

562,223

Chittenden Corp.

30,904

945,353

Citizens & Northern Corp.

6,694

145,661

Citizens Banking Corp., Michigan

62,264

1,413,393

Citizens Financial Services, Inc.

1,515

34,088

City Holding Co.

14,106

554,930

City National Corp.

30,087

2,171,680

Civitas BankGroup, Inc.

18,797

179,887

CoBiz, Inc.

19,397

397,251

Colonial Bancgroup, Inc.

122,873

3,173,810

Colony Bankcorp, Inc.

4,000

79,800

Columbia Bancorp, Oregon

11,500

276,345

Columbia Banking Systems, Inc.

9,470

319,328

Commerce Bancshares, Inc.

57,984

2,867,309

Commercial Bankshares, Inc.

2,677

135,001

Community Bank of Nevada (a)

10,885

338,197

Community Bank System, Inc.

22,072

472,120

Community Banks, Inc.

20,022

502,552

Community Bankshares, Inc., South Carolina

3,531

57,202

Community Capital Corp.

1,900

38,798

Community Trust Bancorp, Inc.

12,277

438,289

Cullen/Frost Bankers, Inc.

46,428

2,510,826

CVB Financial Corp.

78,714

965,821

Dearborn Bancorp, Inc.

11,262

217,920

East West Bancorp, Inc.

53,472

1,992,901

Eastern Virgina Bankshares, Inc.

3,012

70,782

Enterprise Financial Services Corp. (d)

14,184

408,783

Shares

Value

EuroBancshares, Inc. (a)

10,674

$ 91,263

Exchange National Bancshares, Inc.

5,406

185,966

Farmers Capital Bank Corp.

5,002

153,812

Fidelity Southern Corp.

4,918

92,999

Financial Institutions, Inc.

5,570

119,254

First Bancorp, North Carolina (d)

14,778

328,219

First Bancorp, Puerto Rico

72,615

867,023

First Charter Corp.

26,877

648,004

First Citizen Bancshares, Inc.

3,625

759,510

First Commonwealth Financial Corp. (d)

59,953

738,021

First Community Bancorp, California

26,823

1,455,952

First Community Bancshares, Inc.

10,000

379,100

First Financial Bancorp, Ohio

38,308

601,819

First Financial Bankshares, Inc.

12,289

515,278

First Financial Corp., Indiana

6,060

188,042

First Indiana Corp.

10,374

228,332

First M&F Corp.

1,684

30,733

First Mariner Bancorp, Inc. (a)

999

16,813

First Merchants Corp.

17,779

437,897

First Midwest Bancorp, Inc., Delaware

40,922

1,539,486

First of Long Island Corp.

936

41,231

First Regional Bancorp (a)

11,196

352,226

First Republic Bank, California

24,579

1,317,434

First Security Group, Inc.

10,700

127,223

First South Bancorp, Inc., Virginia (d)

5,916

164,228

First State Bancorp.

20,559

458,877

First United Corp.

5,930

132,773

Firstbank Corp., Michigan

7,615

161,819

FirstMerit Corp.

61,691

1,323,272

FNB Corp., North Carolina

14,866

256,290

FNB Corp., Pennsylvania

48,149

826,237

FNB Corp., Virginia

3,618

130,791

FNB Financial Services Corp.

4,785

76,560

Frontier Financial Corp., Washington (d)

40,151

1,050,350

Fulton Financial Corp.

135,680

2,085,402

Gateway Financial Holdings, Inc.

10,000

145,700

GB&T Bancshares, Inc.

15,000

288,450

German American Bancorp, Inc.

17,151

240,286

Glacier Bancorp, Inc.

50,207

1,227,561

Great Lakes Bancorp, Inc. (a)

10,319

136,830

Great Southern Bancorp, Inc.

7,120

207,690

Greater Bay Bancorp

41,082

1,100,998

Greater Community Bancorp

4,420

79,604

Greene County Bancshares, Inc.

10,000

340,600

Hancock Holding Co.

22,250

991,683

Hanmi Financial Corp.

44,770

874,358

Harleysville National Corp., Pennsylvania

30,004

540,372

Harrington West Financial Group, Inc.

4,000

68,800

Heartland Financial USA, Inc.

14,000

362,740

Heritage Commerce Corp.

8,124

205,212

Heritage Financial Corp., Washington

4,130

103,333

Home Bancshares, Inc.

8,000

182,720

Horizon Financial Corp.

12,153

266,515

IBERIABANK Corp.

7,577

409,385

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Commercial Banks - continued

Independent Bank Corp., Massachusetts

11,103

$ 345,414

Independent Bank Corp., Michigan

17,910

399,751

Integra Bank Corp.

19,801

476,214

International Bancshares Corp.

41,765

1,218,703

Intervest Bancshares Corp. Class A (a)

3,943

110,759

Irwin Financial Corp.

23,780

491,295

Lakeland Bancorp, Inc. (d)

14,700

206,976

Lakeland Financial Corp.

10,412

241,142

Leesport Financial Corp.

1,954

45,001

LSB Bancshares, Inc.

6,571

101,653

Macatawa Bank Corp.

16,537

310,234

MainSource Financial Group, Inc.

15,369

258,199

MB Financial, Inc.

36,946

1,359,243

MBT Financial Corp.

10,000

129,600

Mercantile Bancorp, Inc., Illinois

3,576

79,208

Mercantile Bank Corp.

8,371

284,279

Mercantile Bankshares Corp.

97,017

4,567,560

Merchants Bancshares, Inc.

6,649

154,789

Merrill Merchants Bancshares, Inc.

2,503

78,044

Metrocorp Bancshares, Inc.

4,282

86,454

Mid-State Bancshares

14,138

520,844

Midsouth Bancorp, Inc.

3,316

92,251

Midwest Banc Holdings, Inc.

15,647

304,647

MidWestOne Financial Group, Inc.

3,499

64,697

Nara Bancorp, Inc.

25,509

472,172

National Penn Bancshares, Inc.

32,018

597,136

NBT Bancorp, Inc.

30,577

685,842

Nexity Financial Corp. (a)

5,000

60,250

North Valley Bancorp

4,804

120,580

Northern Empire Bancshares

9,530

277,228

Northern States Financial Corp.

2,836

61,173

Northrim Bancorp, Inc.

982

28,655

Oak Hill Financial, Inc.

7,403

202,916

Ohio Valley Banc Corp.

6,000

153,000

Old National Bancorp, Indiana

47,788

871,653

Old Second Bancorp, Inc.

8,393

239,284

Omega Financial Corp. (d)

10,510

305,736

Oriental Financial Group, Inc.

25,839

330,998

PAB Bankshares, Inc.

7,746

141,984

Pacific Capital Bancorp

40,823

1,285,925

Pacific Mercantile Bancorp (a)

7,285

105,487

Park National Corp.

8,944

834,207

Peapack-Gladstone Financial Corp.

4,448

117,205

Pennsylvania Communication Bancorp, Inc. (a)

3,180

89,612

Peoples Bancorp, Inc.

5,422

150,461

Peoples Banctrust Co., Inc.

1,053

24,219

Peoples Financial Corp., Mississippi

4,312

111,034

Pinnacle Financial Partners, Inc. (a)

14,923

462,464

Placer Sierra Bancshares

18,155

491,637

Popular, Inc.

197,752

3,462,638

Shares

Value

Preferred Bank, Los Angeles California

8,047

$ 331,778

Premier Community Bankshares, Inc.

7,661

252,200

PremierWest Bancorp

17,727

233,465

Princeton National Bancorp, Inc.

2,512

81,590

PrivateBancorp, Inc.

16,540

605,695

Prosperity Bancshares, Inc.

31,144

1,082,877

Provident Bankshares Corp.

24,064

825,636

QCR Holdings, Inc.

4,300

74,347

R&G Financial Corp. Class B

40,250

219,363

Renasant Corp.

14,520

352,836

Republic Bancorp, Inc., Kentucky Class A

7,717

168,771

Republic First Bancorp, Inc.

6,564

82,706

Royal Bancshares of Pennsylvania, Inc. Class A

6,704

163,041

S&T Bancorp, Inc.

18,285

597,371

S.Y. Bancorp, Inc.

6,778

175,008

Sandy Spring Bancorp, Inc.

14,316

474,003

Santander Bancorp

4,969

95,206

Savannah Bancorp, Inc.

3,956

111,045

SCBT Financial Corp.

8,000

300,720

Seacoast Banking Corp., Florida

11,060

262,454

Security Bank Corp., Georgia

18,190

373,441

Shore Bancshares, Inc. (d)

5,814

152,094

Sierra Bancorp

6,100

175,131

Signature Bank, New York (a)

26,946

827,781

Simmons First National Corp. Class A

9,580

266,324

Sky Financial Group, Inc.

87,035

2,446,554

Smithtown Bancorp, Inc. (d)

9,687

267,167

South Financial Group, Inc.

55,386

1,483,237

Southside Bancshares, Inc. (d)

14,001

329,444

Southwest Bancorp, Inc., Oklahoma

17,075

434,730

Southwest Georgia Financial Corp.

835

16,575

State Bancorp, Inc., New York

5,592

121,067

Sterling Bancorp, New York

16,378

305,777

Sterling Bancshares, Inc.

61,143

706,813

Sterling Financial Corp., Pennsylvania

15,767

341,513

Sterling Financial Corp., Washington

37,215

1,224,001

Suffolk Bancorp

7,466

248,319

Summit Financial Group, Inc.

1,800

37,548

Sun Bancorp, Inc., New Jersey

19,998

377,362

Superior Bancorp (a)(d)

30,716

337,876

Susquehanna Bancshares, Inc., Pennsylvania

46,997

1,140,147

SVB Financial Group (a)

29,531

1,426,347

Taylor Capital Group, Inc.

10,172

371,990

TCF Financial Corp.

95,080

2,513,915

TD Banknorth, Inc.

96,625

3,102,629

Temecula Valley Bancorp, Inc. (a)

12,685

296,575

Tennessee Commerce Bancorp, Inc. (a)

4,775

142,056

Texas Capital Bancshares, Inc. (a)

20,602

414,718

TIB Financial Corp.

6,654

109,259

Tompkins Trustco, Inc.

4,489

184,722

Trico Bancshares

7,477

182,289

Trustmark Corp.

41,201

1,178,349

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Commercial Banks - continued

UCBH Holdings, Inc.

71,480

$ 1,362,409

UMB Financial Corp.

31,832

1,201,021

Umpqua Holdings Corp.

46,346

1,251,805

Union Bankshares Corp.

8,934

236,483

UnionBanCal Corp.

47,831

2,925,822

United Bankshares, Inc., West Virginia

34,543

1,228,695

United Community Banks, Inc., Georgia

32,972

1,077,195

United Security Bancshares, California

6,270

130,228

Univest Corp. of Pennsylvania

12,000

292,920

USB Holding Co., Inc.

8,800

199,760

Valley National Bancorp

93,478

2,353,776

Vineyard National Bancorp

14,652

358,241

Virginia Commerce Bancorp, Inc.

15,028

316,490

Virginia Financial Group, Inc.

14,623

352,707

W Holding Co., Inc.

130,070

694,574

Washington Banking Co., Oak Harbor

4,700

74,636

Washington Trust Bancorp, Inc.

11,961

332,875

WesBanco, Inc.

18,419

569,515

West Bancorp., Inc. (d)

13,500

212,490

West Coast Bancorp, Oregon

13,366

405,658

Westamerica Bancorp.

23,551

1,156,354

Western Alliance Bancorp. (a)

14,932

500,819

Whitney Holding Corp.

53,274

1,689,851

Wilmington Trust Corp., Delaware

59,049

2,517,259

Wilshire Bancorp, Inc.

23,616

402,417

Wintrust Financial Corp.

23,488

1,076,690

Yardville National Bancorp

12,736

467,539

143,113,109

Consumer Finance - 0.4%

Advance America Cash Advance Centers, Inc.

55,072

750,631

Advanta Corp. Class B

19,134

799,227

AmeriCredit Corp. (a)(d)

95,020

2,320,388

Cash America International, Inc.

22,385

909,055

Cash Systems, Inc. (a)

14,761

81,186

CompuCredit Corp. (a)(d)

28,435

882,907

Consumer Portfolio Services, Inc. (a)

11,918

81,638

Credit Acceptance Corp. (a)

5,307

129,968

Dollar Financial Corp. (a)

15,043

385,402

EZCORP, Inc. Class A (a)

31,119

462,117

First Cash Financial Services, Inc. (a)

24,985

561,663

First Marblehead Corp. (d)

48,133

2,172,724

Nelnet, Inc. Class A

15,295

395,070

QC Holdings, Inc.

10,421

138,182

Rewards Network, Inc. (a)

22,487

120,530

Student Loan Corp.

3,146

602,490

United Panam Financial Corp. (a)

5,347

66,410

World Acceptance Corp. (a)

11,975

490,975

11,350,563

Shares

Value

Diversified Financial Services - 0.9%

Ampal-American Israel Corp. Class A (a)

4,585

$ 21,320

Asset Acceptance Capital Corp. (a)

14,141

208,580

Asta Funding, Inc. (d)

8,785

290,608

California First National Bancorp

4,060

54,851

Catskill Litigation Trust (a)

1,036

0

CBOT Holdings, Inc. Class A (a)

28,452

4,597,843

Encore Capital Group, Inc. (a)

10,962

112,361

Financial Federal Corp.

24,580

665,872

Finova Group, Inc. (a)

22,736

1,819

First Albany Companies, Inc. (a)

2,377

4,397

IntercontinentalExchange, Inc. (a)

55,295

8,341,251

International Securities Exchange, Inc. Class A

28,806

1,332,278

Leucadia National Corp.

127,092

3,597,975

Marlin Business Services Corp. (a)

7,748

177,662

Medallion Financial Corp.

18,998

214,107

MicroFinancial, Inc.

5,166

29,859

NCP Litigation Trust (a)

200

0

NewStar Financial, Inc.

9,643

174,201

Newtek Business Services, Inc. (a)

5,503

13,592

NYMEX Holdings, Inc. (d)

4,176

536,198

NYSE Group, Inc. (a)(d)

42,687

3,624,126

PICO Holdings, Inc. (a)

14,096

593,442

Portfolio Recovery Associates, Inc. (a)(d)

15,839

697,550

Primus Guaranty Ltd. (a)

21,499

272,392

Resource America, Inc. Class A

15,458

400,517

The NASDAQ Stock Market, Inc. (a)

78,159

2,339,299

28,302,100

Insurance - 7.2%

21st Century Holding Co.

1,797

33,119

21st Century Insurance Group

23,634

500,332

Affirmative Insurance Holdings, Inc.

11,382

183,819

Alfa Corp.

25,874

471,166

Alleghany Corp.

3,944

1,540,605

Allied World Assurance Co. Holdings Ltd.

26,660

1,111,455

Amcomp, Inc.

11,074

116,609

American Equity Investment Life
Holding Co.

46,590

617,783

American Financial Group, Inc.

53,254

1,863,890

American Independence Corp. (a)

3,087

33,432

American National Insurance Co.

11,013

1,401,404

American Physicians Capital, Inc. (a)

12,727

471,917

American Safety Insurance Group Ltd. (a)

5,346

97,297

Amerisafe, Inc. (a)

18,790

347,239

Amtrust Financial Services, Inc. (d)

22,034

237,967

Arch Capital Group Ltd.

32,045

2,066,582

Argonaut Group, Inc. (a)

24,903

876,835

Arthur J. Gallagher & Co. (d)

78,091

2,235,745

Aspen Insurance Holdings Ltd.

43,595

1,155,268

Assurant, Inc.

77,176

4,125,057

Assured Guaranty Ltd.

48,785

1,380,616

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Insurance - continued

Atlantic American Corp. (a)

10,720

$ 36,019

Axis Capital Holdings Ltd.

111,774

3,779,079

Baldwin & Lyons, Inc. Class B

9,944

245,318

Berkshire Hathaway, Inc. Class A (a)

850

90,261,449

Bristol West Holdings, Inc.

31,594

513,403

Brooke Corp.

8,106

104,567

Brown & Brown, Inc.

95,380

2,684,947

Citizens, Inc. Class A (a)

10,666

73,595

Clark, Inc.

7,815

134,262

CNA Financial Corp. (a)

21,156

868,665

CNA Surety Corp. (a)

12,254

241,894

Commerce Group, Inc., Massachusetts

48,867

1,401,017

Conseco, Inc. (d)

127,356

2,540,752

Crawford & Co. Class B

11,783

69,873

CRM Holdings Ltd. (a)

9,636

81,617

Delphi Financial Group, Inc. Class A

34,611

1,359,866

Direct General Corp.

16,682

346,652

Donegal Group, Inc. Class A

5,200

89,232

Eastern Insurance Holdings, Inc.

11,883

169,452

eHealth, Inc.

8,167

204,338

EMC Insurance Group

12,011

327,420

Employers Holdings, Inc.

42,055

857,922

Endurance Specialty Holdings Ltd.

43,963

1,558,928

Enstar Group Ltd. (a)(d)

3,751

376,976

Erie Indemnity Co. Class A

39,939

2,153,111

Everest Re Group Ltd.

49,912

4,851,946

FBL Financial Group, Inc. Class A

13,302

517,847

Fidelity National Financial, Inc. Class A

181,232

4,349,568

First Acceptance Corp. (a)

24,679

251,973

First American Corp., California

68,991

3,252,926

First Mercury Financial Corp.

10,000

225,900

FPIC Insurance Group, Inc. (a)

7,567

334,915

Gainsco, Inc. (a)

196

1,372

Great American Financial Resources, Inc.

4,585

114,808

Hanover Insurance Group, Inc.

43,273

2,032,533

Harleysville Group, Inc.

11,446

372,109

HCC Insurance Holdings, Inc. (d)

86,911

2,724,660

Hilb Rogal & Hobbs Co.

32,287

1,462,601

Horace Mann Educators Corp.

38,802

785,352

Independence Holding Co.

5,623

120,613

Infinity Property & Casualty Corp.

16,293

752,411

Insure.com, Inc. (a)

779

3,428

Investors Title Co.

1,641

81,984

IPC Holdings Ltd.

49,214

1,430,159

James River Group, Inc.

9,136

258,183

Kansas City Life Insurance Co.

3,631

163,758

KMG America Corp. (a)

12,545

115,038

LandAmerica Financial Group, Inc.

17,431

1,212,675

Markel Corp. (a)

7,619

3,648,358

Max Re Capital Ltd.

38,152

933,198

Shares

Value

Meadowbrook Insurance Group, Inc. (a)

18,686

$ 196,764

Mercer Insurance Group, Inc.

5,069

97,528

Merchants Group, Inc.

2,177

71,297

Mercury General Corp.

26,466

1,410,638

Montpelier Re Holdings Ltd.

98,862

1,721,187

National Atlantic Holdings Corp. Class A (a)

8,196

103,925

National Financial Partners Corp.

26,481

1,222,363

National Interstate Corp.

6,658

174,506

National Security Group, Inc.

2,778

49,310

National Western Life Insurance Co. Class A

2,047

466,593

Nationwide Financial Services, Inc. Class A (sub. vtg.)

44,005

2,358,668

Navigators Group, Inc. (a)

9,552

474,734

Nymagic, Inc.

2,755

108,464

OdysseyRe Holdings Corp.

17,899

697,345

Ohio Casualty Corp.

44,692

1,332,715

Old Republic International Corp.

173,592

3,874,573

OneBeacon Insurance Group Ltd.

29,770

794,859

PartnerRe Ltd.

45,032

3,128,823

Penn Treaty American Corp. (a)

31,965

248,688

Philadelphia Consolidated Holdings Corp. (a)

51,079

2,345,037

Phoenix Companies, Inc.

98,254

1,403,067

Platinum Underwriters Holdings Ltd.

46,695

1,491,905

PMA Capital Corp. Class A

37,128

348,632

Presidential Life Corp.

14,950

305,279

ProAssurance Corp. (a)

25,074

1,291,311

ProCentury Corp.

9,119

183,748

Protective Life Corp.

52,319

2,323,487

PXRE Group Ltd. (a)

53,714

242,787

Reinsurance Group of America, Inc.

22,918

1,308,159

RenaissanceRe Holdings Ltd.

55,415

2,841,681

RLI Corp.

23,173

1,299,078

RTW, Inc. (a)

655

6,039

Safety Insurance Group, Inc.

9,803

416,333

Scottish Re Group Ltd.

32,667

120,868

SCPIE Holding, Inc. (a)

9,553

221,916

SeaBright Insurance Holdings, Inc. (a)

17,523

329,257

Security Capital Assurance Ltd.

51,000

1,516,740

Selective Insurance Group, Inc. (d)

52,628

1,286,228

Specialty Underwriters' Alliance, Inc. (a)

14,899

108,018

StanCorp Financial Group, Inc.

43,893

2,115,643

State Auto Financial Corp.

9,729

315,317

Stewart Information Services Corp.

15,082

612,329

The Midland Co.

13,229

564,481

Tower Group, Inc.

11,548

394,711

Transatlantic Holdings, Inc.

24,046

1,589,441

Unico American Corp. (a)

2,607

33,187

United America Indemnity Ltd. Class A (a)

21,961

518,719

United Fire & Casualty Co.

16,601

575,225

Unitrin, Inc.

33,846

1,548,793

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Insurance - continued

Universal American Financial Corp. (a)

27,615

$ 529,932

USI Holdings Corp. (a)

28,168

469,842

W.R. Berkley Corp.

137,809

4,492,573

Wesco Financial Corp.

1,262

598,756

White Mountains Insurance Group Ltd.

5,729

3,293,373

Zenith National Insurance Corp.

31,252

1,504,784

218,426,462

Real Estate Investment Trusts - 7.3%

Acadia Realty Trust (SBI)

21,120

570,240

Agree Realty Corp.

3,217

108,863

Alesco Financial, Inc.

40,369

435,582

Alexanders, Inc. (a)

1,399

572,541

Alexandria Real Estate Equities, Inc.

25,213

2,652,155

AMB Property Corp. (SBI)

68,114

4,003,741

America First Apartment Investment, Inc.

10,576

208,347

American Campus Communities, Inc.

24,834

751,229

American Financial Realty Trust (SBI)

103,568

1,149,605

American Home Mortgage Investment Corp. (d)

34,797

951,698

American Land Lease, Inc.

4,333

112,658

American Mortgage Acceptance Co. (d)

4,770

58,242

Annaly Capital Management, Inc.

176,143

2,469,525

Anthracite Capital, Inc.

44,277

553,905

Anworth Mortgage Asset Corp.

40,106

356,542

Arbor Realty Trust, Inc.

14,415

443,838

Ashford Hospitality Trust, Inc.

58,564

726,194

Associated Estates Realty Corp.

8,335

131,943

BioMed Realty Trust, Inc.

51,435

1,437,608

BNP Residential Properties, Inc.

5,592

134,991

Brandywine Realty Trust (SBI)

70,246

2,504,270

BRE Properties, Inc. Class A

39,036

2,590,039

BRT Realty Trust

3,818

119,045

Camden Property Trust (SBI)

47,305

3,405,014

Capital Lease Funding, Inc.

32,807

348,082

Capital Trust, Inc. Class A

13,427

617,642

CapitalSource, Inc. (d)

114,252

2,946,559

Capstead Mortgage Corp. (d)

13,005

113,794

CBL & Associates Properties, Inc.

50,721

2,390,481

CBRE Realty Finance, Inc.

12,390

162,061

Cedar Shopping Centers, Inc.

39,840

639,432

Cogdell Spencer, Inc.

5,912

129,591

Colonial Properties Trust (SBI)

40,272

1,850,498

Columbia Equity Trust, Inc.

18,406

359,469

Corporate Office Properties Trust (SBI)

34,075

1,738,507

Cousins Properties, Inc.

41,230

1,415,838

Crescent Real Estate Equities Co.

76,785

1,527,254

Crystal River Capital, Inc.

3,822

97,423

DCT Industrial Trust, Inc.

125,000

1,413,750

Deerfield Triarc Capital Corp.

37,488

577,315

Developers Diversified Realty Corp.

89,041

5,837,528

DiamondRock Hospitality Co.

69,141

1,250,761

Shares

Value

Digital Realty Trust, Inc.

33,637

$ 1,333,371

Douglas Emmett, Inc.

53,800

1,488,108

Duke Realty LP

108,143

4,764,781

Eagle Hospitality Properties Trust, Inc.

18,912

212,382

Eastgroup Properties, Inc.

22,751

1,228,099

ECC Capital Corp.

32,592

27,377

Education Realty Trust, Inc.

25,355

375,000

Entertainment Properties Trust (SBI)

21,597

1,414,604

Equity Inns, Inc.

47,164

731,042

Equity Lifestyle Properties, Inc.

19,044

1,071,225

Equity One, Inc.

29,605

794,006

Essex Property Trust, Inc.

18,618

2,585,854

Extra Space Storage, Inc.

63,108

1,201,576

Federal Realty Investment Trust (SBI)

47,281

4,278,458

FelCor Lodging Trust, Inc.

47,057

1,109,604

Feldman Mall Properties, Inc.

12,239

145,155

Fieldstone Investment Corp.

34,652

170,488

First Industrial Realty Trust, Inc. (d)

35,613

1,654,224

First Potomac Realty Trust

22,739

681,033

Franklin Street Properties Corp.

54,824

1,052,621

Friedman, Billings, Ramsey Group, Inc. Class A

140,622

953,417

General Growth Properties, Inc.

185,872

11,789,861

Getty Realty Corp.

15,746

467,184

Gladstone Commercial Corp.

10,600

214,650

Glimcher Realty Trust (d)

34,000

945,540

GMH Communities Trust

30,596

327,071

Government Properties Trust, Inc.

17,885

188,508

Gramercy Capital Corp.

16,296

524,079

Health Care Property Investors, Inc.

153,308

5,637,135

Health Care REIT, Inc. (d)

57,496

2,576,396

Healthcare Realty Trust, Inc.

33,862

1,311,814

Hersha Hospitality Trust

35,172

392,168

Highland Hospitality Corp.

44,191

725,174

Highwoods Properties, Inc. (SBI)

43,000

1,899,740

Home Properties of New York, Inc.

24,016

1,406,857

HomeBanc Mortgage Corp., Georgia (d)

30,699

85,343

Hospitality Properties Trust (SBI)

60,368

2,781,154

Host Hotels & Resorts, Inc.

426,673

11,212,966

HRPT Properties Trust (SBI) (d)

173,083

2,236,232

Impac Mortgage Holdings, Inc. (d)

57,824

380,482

Inland Real Estate Corp.

50,160

958,558

Innkeepers USA Trust (SBI)

45,836

765,461

Investors Real Estate Trust (d)

39,237

394,332

iStar Financial, Inc.

95,828

4,585,370

JER Investments Trust, Inc.

22,756

432,819

Kilroy Realty Corp.

25,308

2,084,114

Kite Realty Group Trust

25,356

513,713

KKR Financial Corp.

66,916

1,848,889

LaSalle Hotel Properties (SBI)

39,161

1,739,923

Lexington Corporate Properties Trust

58,712

1,206,532

Liberty Property Trust (SBI)

75,154

3,851,643

Longview Fibre Co.

51,700

1,272,854

LTC Properties, Inc.

19,272

498,374

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Real Estate Investment Trusts - continued

Luminent Mortgage Capital, Inc.

39,416

$ 363,416

Mack-Cali Realty Corp.

43,090

2,226,891

Maguire Properties, Inc. (d)

30,935

1,208,321

Medical Properties Trust, Inc. (d)

40,296

618,947

MFA Mortgage Investments, Inc.

87,881

651,198

Mid-America Apartment Communities, Inc.

22,978

1,269,075

Mission West Properties, Inc.

23,945

347,681

Monmouth Real Estate Investment Corp. Class A

9,627

83,081

National Health Investors, Inc.

20,428

621,011

National Health Realty, Inc.

10,570

251,038

National Retail Properties, Inc.

51,074

1,234,969

Nationwide Health Properties, Inc. (d)

76,141

2,518,744

New Century Financial Corp. (d)

37,482

573,475

New Plan Excel Realty Trust (d)

73,600

2,457,504

New York Mortgage Trust, Inc.

18,314

58,055

Newcastle Investment Corp.

40,672

1,199,824

NorthStar Realty Finance Corp.

45,512

690,417

Novastar Financial, Inc. (d)

27,905

222,403

Omega Healthcare Investors, Inc.

51,709

932,830

One Liberty Properties, Inc.

4,885

119,731

Opteum, Inc. Class A

36,905

186,739

Origen Financial, Inc.

17,799

105,370

Parkway Properties, Inc.

13,969

751,393

Pennsylvania (REIT) (SBI)

31,797

1,372,359

PMC Commercial Trust

6,561

96,447

Post Properties, Inc.

31,663

1,523,624

Potlatch Corp.

29,190

1,319,388

PS Business Parks, Inc.

13,414

965,808

Quadra Realty Trust, Inc.

2,338

32,451

RAIT Investment Trust (SBI)

59,041

1,974,921

Ramco-Gershenson Properties Trust (SBI)

16,771

598,725

Rayonier, Inc.

65,777

2,937,601

Realty Income Corp.

87,802

2,415,433

Redwood Trust, Inc.

23,125

1,248,750

Regency Centers Corp.

52,850

4,531,359

Republic Property Trust

16,652

195,328

Resource Capital Corp.

16,772

278,583

Saul Centers, Inc.

8,854

507,334

Senior Housing Properties Trust (SBI)

64,134

1,535,368

SL Green Realty Corp.

42,000

6,126,120

Sovran Self Storage, Inc.

17,303

1,007,381

Spirit Finance Corp.

79,020

1,020,938

Strategic Hotel & Resorts, Inc.

66,060

1,389,242

Sun Communities, Inc.

15,926

488,610

Sunstone Hotel Investors, Inc.

40,362

1,143,859

Supertel Hospitality, Inc., Maryland

13,197

96,074

Tanger Factory Outlet Centers, Inc.

23,973

963,235

Taubman Centers, Inc.

45,010

2,676,745

Shares

Value

The Macerich Co.

57,646

$ 5,395,666

The Mills Corp. (d)

39,522

986,864

Thornburg Mortgage, Inc. (SBI) (d)

88,526

2,241,478

Transcontinental Realty Investors, Inc. (a)

1,497

20,689

U-Store-It Trust

41,781

902,470

UMH Properties, Inc.

4,453

66,439

United Dominion Realty Trust, Inc. (SBI)

115,976

3,786,616

Universal Health Realty Income Trust (SBI)

9,322

348,736

Urstadt Biddle Properties, Inc.

5,274

90,607

Urstadt Biddle Properties, Inc. Class A

17,626

317,621

Ventas, Inc.

81,717

3,745,090

Vestin Realty Mortgage II, Inc.

35,498

191,689

Washington (REIT) (SBI)

40,600

1,623,188

Weingarten Realty Investors (SBI)

62,915

3,110,518

Winston Hotels, Inc.

23,362

328,002

Winthrop Realty Trust (d)

50,129

333,859

221,018,489

Real Estate Management & Development - 0.6%

Affordable Residential Communties, Inc. (d)

25,798

306,222

American Realty Investments, Inc. (a)

1,965

16,329

BNS Holding, Inc. Class A (a)

20

270

Brookfield Properties Corp.

108,056

4,808,492

Consolidated-Tomoka Land Co.

4,603

352,682

Forest City Enterprises, Inc. Class A

59,529

3,677,702

Grubb & Ellis Co. (a)

14,733

164,273

Housevalues, Inc. (a)(d)

9,851

50,142

Jones Lang LaSalle, Inc.

27,369

2,897,009

Meruelo Maddux Properties, Inc.

25,969

249,043

Move, Inc.

110,620

660,401

Stratus Properties, Inc. (a)

2,986

97,045

Tejon Ranch Co. (a)

11,513

546,752

The St. Joe Co. (d)

61,859

3,441,835

Thomas Properties Group, Inc.

9,183

140,500

United Capital Corp. (a)

2,068

64,418

Wellsford Real Properties, Inc. (a)

2,805

21,627

ZipRealty, Inc. (a)

10,323

76,287

17,571,029

Thrifts & Mortgage Finance - 1.6%

Accredited Home Lenders Holding Co. (a)(d)

22,088

496,538

American Bancorp of New Jersey, Inc.

20,535

241,902

Anchor BanCorp Wisconsin, Inc.

12,340

348,852

Astoria Financial Corp.

64,750

1,830,483

Bank Mutual Corp.

57,255

669,311

BankAtlantic Bancorp, Inc. Class A (non-vtg.)

32,939

420,302

BankUnited Financial Corp. Class A

33,017

806,275

BCSB Bankcorp, Inc.

4,872

74,054

Berkshire Bancorp, Inc.

1,110

17,227

Berkshire Hills Bancorp, Inc.

5,489

189,755

Beverly Hills Bancorp, Inc.

10,000

76,200

Brookline Bancorp, Inc., Delaware

56,246

717,699

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Thrifts & Mortgage Finance - continued

Camco Financial Corp.

7,852

$ 95,873

Capitol Federal Financial

22,464

841,277

CFS Bancorp, Inc.

5,521

80,993

Charter Financial Corp., Georgia

8,305

402,793

Charter Municipal Mortgage
Acceptance Co.

41,056

782,938

Cheviot Financial Corp.

52

681

Citizens First Bancorp, Inc., Delaware

3,754

94,338

Citizens South Banking Corp., Delaware

10,510

139,678

City Bank Lynnwood, Washington

16,408

514,719

Clayton Holdings, Inc.

6,858

152,110

Clifton Savings Bancorp, Inc.

8,458

99,889

Coastal Financial Corp. (d)

21,808

351,109

Corus Bankshares, Inc. (d)

32,002

593,957

Delta Financial Corp. (d)

16,328

154,463

Dime Community Bancshares, Inc.

22,145

278,363

Doral Financial Corp. (d)

68,986

149,700

Downey Financial Corp. (d)

18,670

1,223,632

ESB Financial Corp.

7,483

82,238

Farmer Mac Class C (non-vtg.)

12,702

325,171

First Busey Corp. (d)

9,363

204,394

First Clover Leaf Financial Corp.

10,566

124,573

First Defiance Financial Corp.

3,003

86,576

First Federal Bancshares of Arkansas, Inc.

3,747

88,429

First Federal Bankshares, Inc.

2,907

63,547

First Financial Holdings, Inc.

12,293

425,952

First Financial Service Corp.

678

21,154

First Mutual Bancshares, Inc.

1,088

24,262

First Niagara Financial Group, Inc.

97,618

1,386,176

First Place Financial Corp.

18,173

380,179

FirstFed Financial Corp., Delaware (a)(d)

14,431

825,453

Flagstar Bancorp, Inc.

35,396

489,881

Flushing Financial Corp.

18,913

307,336

FMS Financial Corp.

1,116

36,080

Franklin Bank Corp.

24,731

456,287

Fremont General Corp. (d)

52,275

460,020

HMN Financial, Inc.

2,852

98,194

Home Federal Bancorp

2,558

75,461

Home Federal Bancorp, Inc., Delaware

14,626

225,679

HopFed Bancorp, Inc.

7,731

124,392

IndyMac Bancorp, Inc. (d)

59,180

2,031,649

ITLA Capital Corp.

5,543

286,130

Jefferson Bancshares, Inc., Tennessee

5,738

72,586

Kearny Financial Corp.

13,844

204,337

KNBT Bancorp, Inc.

23,610

356,983

Legacy Bancorp, Inc.

18,619

296,042

Lincoln Bancorp

3,496

67,158

LSB Corp.

3,904

65,978

MAF Bancorp., Inc.

27,861

1,232,849

MASSBANK Corp.

6,468

212,215

Shares

Value

MutualFirst Financial, Inc.

2,603

$ 52,971

NASB Financial, Inc.

3,384

118,305

NetBank, Inc.

45,554

146,684

New England Bancshares, Inc.

7,230

95,436

New York Community Bancorp, Inc.

210,898

3,530,433

NewAlliance Bancshares, Inc.

87,677

1,385,297

NexCen Brands, Inc. (a)

29,128

304,096

Northeast Community Bancorp, Inc. (a)

8,762

102,603

Northwest Bancorp, Inc.

19,130

502,354

OceanFirst Financial Corp.

4,849

100,859

Ocwen Financial Corp. (a)

28,396

330,245

Oritani Financial Corp. (a)

11,740

180,796

Pamrapo Bancorp, Inc.

2,874

67,913

Parkvale Financial Corp.

2,919

87,424

Partners Trust Financial Group, Inc.

34,184

387,647

Pennfed Financial Services, Inc.

6,162

125,397

People's Bank

52,638

2,336,601

Peoples Bancorp, Auburn, Indiana

3,388

67,184

Peoples Cmnty Bancorp, Inc.

6,000

107,940

PFF Bancorp, Inc.

20,235

639,831

Provident Financial Holdings, Inc.

3,631

98,545

Provident Financial Services, Inc.

46,394

814,679

Provident New York Bancorp

32,025

433,939

Pulaski Financial Corp.

6,450

107,135

PVF Capital Corp.

5,643

66,982

Radian Group, Inc.

62,508

3,591,085

Rainier Pacific Financial Group, Inc.

3,186

68,531

Riverview Bancorp, Inc.

13,156

221,679

Rockville Financial, Inc.

7,892

118,301

Roma Financial Corp. (a)(d)

10,524

155,334

Rome Bancorp, Inc.

12,337

154,829

Synergy Financial Group, Inc., New Jersey

9,338

150,435

TF Financial Corp.

1,778

53,785

The PMI Group, Inc.

68,984

3,233,280

TierOne Corp.

17,055

473,958

Timberland Bancorp, Inc.

6,387

231,784

Triad Guaranty, Inc. (a)

10,834

492,514

Trustco Bank Corp., New York

69,461

686,969

United Community Financial Corp., Ohio

15,305

165,141

ViewPoint Financial Group

11,249

191,795

Washington Federal, Inc.

67,830

1,612,997

Wauwatosa Holdings, Inc. (a)

7,726

136,827

Webster Financial Corp.

43,794

2,162,986

Westfield Financial, Inc.

16,393

173,274

Willow Financial Bancorp, Inc.

16,430

207,675

WSFS Financial Corp.

5,076

340,600

49,797,547

TOTAL FINANCIALS

738,619,744

HEALTH CARE - 10.4%

Biotechnology - 3.0%

Aastrom Biosciences, Inc. (a)

75,401

107,823

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Biotechnology - continued

Acadia Pharmaceuticals, Inc. (a)

14,251

$ 99,187

Acorda Therapeutics, Inc.

22,263

483,330

ADVENTRX Pharmaceuticals, Inc. (a)(d)

46,743

107,509

Affymax, Inc.

4,535

161,491

Alexion Pharmaceuticals, Inc. (a)

27,863

1,027,587

Alkermes, Inc. (a)

84,791

1,390,572

Allos Therapeutics, Inc. (a)(d)

24,876

152,987

Alnylam Pharmaceuticals, Inc. (a)(d)

25,913

487,164

Altus Pharmaceuticals, Inc.

12,310

201,022

Amylin Pharmaceuticals, Inc. (a)(d)

95,129

3,701,469

Anadys Pharmaceuticals, Inc. (a)

18,763

64,732

Antigenics, Inc. (a)

19,086

34,927

AP Pharma, Inc. (a)

17,810

23,509

Arena Pharmaceuticals, Inc. (a)(d)

45,101

570,528

ARIAD Pharmaceuticals, Inc. (a)

50,987

246,267

ArQule, Inc. (a)

21,813

144,402

Array Biopharma, Inc. (a)

36,227

424,943

Avant Immunotherapeutics, Inc. (a)

18,683

26,717

AVAX Technologies, Inc. (a)

4,900

735

AVI BioPharma, Inc. (a)(d)

25,727

68,434

Avigen, Inc. (a)

22,946

159,475

BioCryst Pharmaceuticals, Inc. (a)(d)

14,318

144,755

Bioenvision, Inc. (a)(d)

47,174

211,340

BioMarin Pharmaceutical, Inc. (a)

73,768

1,256,269

Biosante Pharmaceuticals, Inc. (a)

21,771

95,792

BioSphere Medical, Inc. (a)

4,678

31,998

Boston Life Sciences, Inc. (a)(d)

1,366

3,128

Calypte Biomedical Corp. (a)

656

39

Cel-Sci Corp. (a)

5,333

3,733

Cell Genesys, Inc. (a)

43,159

139,835

Cell Therapeutics, Inc. (a)(d)

124,292

186,438

Cephalon, Inc. (a)(d)

48,459

3,444,466

Cepheid, Inc. (a)

44,896

357,821

Coley Pharmaceutical Group, Inc. (a)(d)

14,423

135,288

Combinatorx, Inc. (a)

22,451

183,200

CorAutus Genetics, Inc. (a)

2,623

1,128

Critical Therapeutics, Inc. (a)

7,164

11,964

Cubist Pharmaceuticals, Inc. (a)

45,547

912,306

CuraGen Corp. (a)

41,352

177,400

Curis, Inc. (a)

10,011

13,915

CV Therapeutics, Inc. (a)(d)

45,181

576,961

Cytogen Corp. (a)

15,067

37,969

Cytokinetics, Inc. (a)

23,143

179,821

Cytori Therapeutics, Inc. (a)(d)

14,014

78,478

CytRx Corp. (a)(d)

79,740

334,111

Dendreon Corp. (a)(d)

72,352

335,713

Digene Corp. (a)

17,190

812,743

DUSA Pharmaceuticals, Inc. (a)

9,863

40,537

Dyadic International, Inc. (a)(d)

16,428

100,539

Dyax Corp. (a)

58,388

224,210

Dynavax Technologies Corp. (a)

21,508

107,540

Shares

Value

Encysive Pharmaceuticals, Inc. (a)(d)

39,210

$ 136,059

EntreMed, Inc. (a)

6,269

9,780

Enzon Pharmaceuticals, Inc. (a)(d)

34,300

284,004

Exact Sciences Corp. (a)

5,146

13,946

Genaera Corp. (a)

20,058

7,622

Genelabs Technologies, Inc. (a)

7,653

15,765

Genentech, Inc. (a)

379,048

31,980,280

Genitope Corp. (a)(d)

16,300

56,887

Genomic Health, Inc. (a)

21,051

395,548

Genta, Inc. (a)

73,275

37,370

GenVec, Inc. (a)(d)

87,639

262,917

Geron Corp. (a)(d)

53,729

407,266

GTC Biotherapeutics, Inc. (a)

4,398

4,442

GTx, Inc. (a)(d)

15,842

345,831

Halozyme Therapeutics, Inc. (a)(d)

51,021

422,964

Hana Biosciences, Inc. (a)(d)

18,262

69,578

Hemispherx Biopharma, Inc. (a)(d)

93,692

168,646

Human Genome Sciences, Inc. (a)(d)

112,673

1,239,403

Idenix Pharmaceuticals, Inc. (a)(d)

13,126

124,828

Idera Pharmaceuticals, Inc. (a)

15,000

120,150

IDM Pharma, Inc. (a)

908

2,942

ImClone Systems, Inc. (a)

47,592

1,371,126

ImmunoGen, Inc. (a)

33,884

162,982

Immunomedics, Inc. (a)(d)

65,181

296,574

Incyte Corp. (a)

73,873

473,526

Indevus Pharmaceuticals, Inc. (a)(d)

59,428

411,242

Infinity Pharmaceuticals, Inc. (a)

1,801

23,665

Inhibitex, Inc. (a)

8,093

13,434

Insmed, Inc. (a)(d)

127,479

181,020

InterMune, Inc. (a)(d)

23,464

711,428

Introgen Therapeutics, Inc. (a)(d)

44,401

184,264

Isis Pharmaceuticals, Inc. (a)

74,775

681,948

Isolagen, Inc. (a)(d)

33,379

113,822

Keryx Biopharmaceuticals, Inc. (a)

41,474

472,804

Kosan Biosciences, Inc. (a)

28,380

166,307

La Jolla Pharmaceutical Co. (a)(d)

2,763

8,510

Lexicon Genetics, Inc. (a)

68,125

281,356

Ligand Pharmaceuticals, Inc. Class B (a)

46,162

518,861

Lipid Sciences, Inc. (a)

6,973

9,483

Manhattan Pharmaceuticals, Inc. (a)

9,897

8,511

MannKind Corp. (a)(d)

32,659

519,605

Martek Biosciences (a)(d)

24,131

545,843

Matritech, Inc. (a)

9,731

6,131

Maxygen, Inc. (a)

20,092

221,615

Medarex, Inc. (a)(d)

101,707

1,391,352

Memory Pharmaceuticals Corp. (a)(d)

67,941

197,708

Metabasis Therapeutics, Inc. (a)

26,087

210,000

Metabolix, Inc.

10,752

200,202

Micromet, Inc. (a)

5,632

15,432

Millennium Pharmaceuticals, Inc. (a)(d)

257,355

2,779,434

Momenta Pharmaceuticals, Inc. (a)(d)

24,545

300,922

Monogram Biosciences, Inc. (a)

94,829

187,761

Myriad Genetics, Inc. (a)

30,332

1,014,909

Nabi Biopharmaceuticals (a)(d)

37,645

199,519

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Biotechnology - continued

Neopharm, Inc. (a)(d)

8,402

$ 15,964

Neose Technologies, Inc. (a)

9,641

20,632

Neurobiological Tech, Inc. (a)

4,585

12,380

Neurocrine Biosciences, Inc. (a)(d)

40,314

508,360

Neurogen Corp. (a)

14,550

91,229

Northfield Laboratories, Inc. (a)(d)

29,181

113,514

Northwest Biotherapeutics, Inc. (a)

2,800

202

Novavax, Inc. (a)(d)

42,163

139,981

NPS Pharmaceuticals, Inc. (a)

39,572

138,898

Nuvelo, Inc. (a)

36,720

120,442

Omrix Biopharmaceuticals, Inc.

12,337

441,665

ONYX Pharmaceuticals, Inc. (a)(d)

44,682

1,172,903

Orchid Cellmark, Inc. (a)

20,246

83,009

Ortec International, Inc. (a)

2

1

Orthologic Corp. (a)

36,394

57,866

Oscient Pharmaceuticals Corp. (a)

9,344

48,495

OSI Pharmaceuticals, Inc. (a)

45,152

1,562,259

Osiris Therapeutics, Inc.

10,681

152,311

OXiGENE, Inc. (a)

27,796

118,411

Palatin Technologies, Inc. (a)

59,631

124,032

Panacos Pharmaceuticals, Inc. (a)(d)

35,312

151,842

PDL BioPharma, Inc. (a)

92,920

1,773,843

Peregrine Pharmaceuticals, Inc. (a)

144,570

148,907

Pharmacopeia Drug Discovery, Inc. (a)

2,994

13,982

Pharmacyclics, Inc. (a)

41,159

126,770

Pharmion Corp. (a)

24,730

647,431

Poniard Pharmaceuticals, Inc. (a)(d)

14,768

87,279

Pro-Pharmaceuticals, Inc. (a)

23,828

29,070

Progenics Pharmaceuticals, Inc. (a)

21,524

597,291

Regeneron Pharmaceuticals, Inc. (a)

52,775

1,047,056

Renovis, Inc. (a)

15,599

54,752

Repligen Corp. (a)

7,531

23,346

Rigel Pharmaceuticals, Inc. (a)

20,536

215,012

Sangamo Biosciences, Inc. (a)(d)

24,676

174,213

Savient Pharmaceuticals, Inc. (a)

65,430

885,922

SciClone Pharmaceuticals, Inc. (a)

14,063

43,033

Seattle Genetics, Inc. (a)

38,349

299,122

Senomyx, Inc. (a)

31,175

393,429

SIGA Technologies, Inc. (a)

5,146

20,378

Sonus Pharmaceuticals, Inc. (a)

32,820

176,243

StemCells, Inc. (a)(d)

46,919

122,928

Sunesis Pharmaceuticals, Inc. (a)(d)

3,400

14,620

Tanox, Inc. (a)

18,496

358,822

Tapestry Pharmaceuticals, Inc. (a)

673

1,077

Telik, Inc. (a)(d)

42,903

248,837

Theravance, Inc. (a)

40,968

1,321,218

Threshold Pharmaceuticals, Inc. (a)

15,598

23,709

Titan Pharmaceuticals, Inc. (a)

11,415

29,108

TorreyPines Therapeutics, Inc. (a)

1,899

14,831

Trimeris, Inc. (a)

15,229

174,067

Unigene Laboratories, Inc. (a)(d)

74,735

187,585

Shares

Value

United Therapeutics Corp. (a)

17,599

$ 989,064

Valentis, Inc. (a)

148

47

Vanda Pharmaceuticals, Inc.

8,707

209,490

Vertex Pharmaceuticals, Inc. (a)

100,403

3,081,368

ViaCell, Inc. (a)

31,009

163,107

Vical, Inc. (a)

34,045

177,715

Vion Pharmaceuticals, Inc. (a)(d)

41,496

61,829

Viragen, Inc. (a)

2,058

288

XOMA Ltd. (a)

77,076

246,643

Zymogenetics, Inc. (a)(d)

30,295

454,425

89,524,024

Health Care Equipment & Supplies - 2.6%

Abaxis, Inc. (a)

16,975

387,200

Abiomed, Inc. (a)(d)

31,613

441,950

Accuray, Inc.

12,289

313,124

Adeza Biomedical Corp. (a)

13,940

338,184

Advanced Medical Optics, Inc. (a)(d)

48,612

1,873,506

Align Technology, Inc. (a)

44,223

726,142

Alphatec Holdings, Inc.

14,930

69,723

American Medical Systems Holdings, Inc. (a)

58,721

1,194,385

Analogic Corp.

10,972

613,883

Angeion Corp. (a)

2

33

Angiodynamics, Inc. (a)

20,296

487,104

Anika Therapeutics, Inc. (a)

9,355

126,854

Arrow International, Inc.

20,033

668,501

ArthroCare Corp. (a)

23,913

869,238

Aspect Medical Systems, Inc. (a)

10,493

169,462

ATS Medical, Inc. (a)

6,269

14,419

Beckman Coulter, Inc.

46,951

3,012,376

BioLase Technology, Inc. (a)(d)

21,417

180,759

Biosite, Inc. (a)

13,958

741,449

Bovie Medical Corp. (a)

18,610

164,512

BSD Medical Corp. (a)(d)

13,363

105,434

Cambridge Heart, Inc. (a)

1,200

2,760

Candela Corp. (a)

20,642

235,112

Cantel Medical Corp. (a)

6,163

94,849

Cardiac Science Corp. (a)

17,399

148,413

Cardiodynamics International Corp. (a)

13,842

15,365

Cardiotech International, Inc. (a)

3,688

5,680

Cerus Corp. (a)

15,391

82,188

Cholestech Corp. (a)

15,842

259,017

Clarient, Inc. (a)

8,140

13,512

Clinical Data, Inc. (a)

941

19,356

Conceptus, Inc. (a)

21,558

404,859

CONMED Corp. (a)

26,542

726,189

Cooper Companies, Inc.

37,574

1,724,271

Cutera, Inc. (a)

9,296

324,895

Cyberonics, Inc. (a)(d)

16,400

335,872

Cynosure, Inc. Class A (a)

6,020

132,922

Cytyc Corp. (a)

95,721

2,900,346

Dade Behring Holdings, Inc.

68,563

2,808,340

Datascope Corp.

9,720

347,976

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Health Care Equipment & Supplies - continued

DENTSPLY International, Inc.

109,540

$ 3,454,892

DexCom, Inc. (a)(d)

12,402

100,332

Digirad Corp. (a)

4,978

23,894

DJO, Inc. (a)

20,403

799,390

E-Z-EM, Inc. (a)

3,324

58,802

Edwards Lifesciences Corp. (a)

45,764

2,309,709

Electro-Optical Sciences, Inc. (a)

9,000

50,400

Endologix, Inc. (a)

29,516

123,967

Enpath Medical, Inc. (a)

3,275

37,335

EP Medsystems, Inc. (a)

14,220

19,908

EPIX Pharmaceuticals, Inc. (a)

9,769

65,648

Escalon Medical Corp. (a)

3,512

13,486

ev3, Inc. (a)(d)

19,359

380,211

Exactech, Inc. (a)

6,414

98,519

Fonar Corp. (a)

19,649

5,010

Foxhollow Technologies, Inc. (a)

13,358

298,685

Gen-Probe, Inc. (a)

43,576

2,092,520

Greatbatch, Inc. (a)

20,807

540,150

Haemonetics Corp. (a)

23,414

1,053,630

Hansen Medical, Inc. (d)

14,073

235,301

HealthTronics, Inc. (a)

18,929

116,792

Hillenbrand Industries, Inc.

44,084

2,636,223

Hologic, Inc. (a)

42,154

2,320,578

I-Flow Corp. (a)

24,646

355,149

ICU Medical, Inc. (a)

13,059

510,085

IDEXX Laboratories, Inc. (a)

22,755

1,961,026

Immucor, Inc. (a)

56,303

1,674,451

Implant Sciences Corp. (a)

468

1,053

Insite Vision (a)

62,560

94,466

Integra LifeSciences Holdings Corp. (a)

17,966

755,470

IntraLase Corp. (a)

15,988

394,264

Intuitive Surgical, Inc. (a)(d)

29,913

3,323,334

Invacare Corp.

28,693

533,116

Inverness Medical Innovations, Inc. (a)

35,923

1,515,951

Iridex Corp. (a)

9,439

94,956

IRIS International, Inc. (a)

10,010

113,513

IVAX Diagnostics, Inc. (a)

7,111

7,538

Kensey Nash Corp. (a)

8,253

236,531

Kinetic Concepts, Inc. (a)

41,644

2,046,803

Kyphon, Inc. (a)

37,276

1,681,520

LifeCell Corp. (a)(d)

30,968

739,206

Lifecore Biomedical, Inc. (a)

13,141

224,317

Medical Action Industries, Inc. (a)

13,708

304,592

Medwave, Inc. (a)

2,979

1,072

Mentor Corp.

36,815

1,767,488

Meridian Bioscience, Inc.

22,975

617,109

Merit Medical Systems, Inc. (a)

18,942

266,514

Microtek Medical Holdings, Inc. (a)

38,801

183,529

Micrus Endovascular Corp. (a)

16,657

344,800

Minrad International, Inc. (a)

24,400

132,736

National Dentex Corp. (a)

2,508

42,636

Shares

Value

Natus Medical, Inc. (a)

21,654

$ 348,846

Neogen Corp. (a)

6,838

156,248

NeuroMetrix, Inc. (a)(d)

7,830

89,105

NMT Medical, Inc. (a)

16,102

223,979

North American Scientific, Inc. (a)

3,930

4,127

Northstar Neuroscience, Inc.

6,621

79,717

Nutraceutical International Corp. (a)

9,825

164,078

NuVasive, Inc. (a)

23,821

562,890

NxStage Medical, Inc. (a)(d)

19,789

242,415

OraSure Technologies, Inc. (a)

45,145

359,354

Orthovita, Inc. (a)

20,662

69,631

Osteotech, Inc. (a)

4,011

30,604

Palomar Medical Technologies, Inc. (a)(d)

13,766

562,754

PolyMedica Corp.

20,228

837,439

Possis Medical, Inc. (a)

16,597

203,645

Quidel Corp. (a)

32,548

350,542

Regeneration Technologies, Inc. (a)

39,621

280,120

ResMed, Inc. (a)

61,850

2,955,193

Respironics, Inc. (a)

58,818

2,409,773

Retractable Technologies, Inc. (a)

5,601

16,243

Rochester Medical Corp.

8,589

135,449

Sirona Dental Systems, Inc.

16,590

617,480

Somanetics Corp. (a)

8,762

179,621

Sonic Innovations, Inc. (a)

31,910

227,837

SonoSite, Inc. (a)

12,261

368,811

Staar Surgical Co. (a)

8,437

51,972

Stereotaxis, Inc. (a)

21,349

245,727

Steris Corp.

55,862

1,446,826

Strategic Diagnostics, Inc. (a)

3,743

16,207

SurModics, Inc. (a)(d)

15,757

583,167

Symmetry Medical, Inc. (a)

25,189

375,568

Synovis Life Technologies, Inc. (a)

14,155

176,371

The Spectranetics Corp. (a)

26,606

279,629

Theragenics Corp. (a)

45,104

216,950

Thermogenesis Corp. (a)

39,439

121,078

Thoratec Corp. (a)

38,004

746,779

Trimedyne, Inc. (a)

8,608

12,912

Urologix, Inc. (a)

5,053

16,220

Utah Medical Products, Inc.

3,222

112,383

Vascular Solutions, Inc. (a)

21,325

216,662

Viasys Healthcare, Inc. (a)

29,211

903,496

Vision Sciences, Inc. (a)

8,293

8,708

Vital Signs, Inc.

6,169

326,217

Volcano Corp.

21,663

411,814

West Pharmaceutical Services, Inc.

25,562

1,156,936

Wright Medical Group, Inc. (a)

24,535

548,357

Young Innovations, Inc.

3,599

91,918

Zoll Medical Corp.

18,824

523,495

79,904,060

Health Care Providers & Services - 2.5%

Access Plans USA, Inc. (a)(d)

3,930

9,825

Air Methods Corp. (a)

7,431

185,701

Alliance Imaging, Inc. (a)

12,948

93,096

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Health Care Providers & Services - continued

Allied Healthcare International, Inc. (a)

21,264

$ 64,005

Allion Healthcare, Inc. (a)

9,407

49,387

Amedisys, Inc. (a)

19,609

627,096

America Service Group, Inc. (a)

4,584

69,952

American Dental Partners, Inc. (a)

13,941

282,305

AMERIGROUP Corp. (a)

42,735

1,413,674

AMN Healthcare Services, Inc. (a)

30,872

858,242

AmSurg Corp. (a)

19,017

438,342

Animal Health International, Inc.

14,373

185,412

Apria Healthcare Group, Inc. (a)

37,271

1,187,081

Arcadia Resources, Inc. (a)(d)

80,061

179,337

Assisted Living Concepts, Inc. Class A (a)

42,471

486,293

Bio-Reference Laboratories, Inc. (a)(d)

15,824

387,530

BioScrip, Inc. (a)

27,406

86,603

Brookdale Senior Living, Inc.

38,300

1,808,143

BSML, Inc. (a)(d)

1,435

1,995

Capital Senior Living Corp. (a)

24,577

264,940

Centene Corp. (a)

32,250

777,870

Chemed Corp.

22,259

1,030,369

Chindex International, Inc. (a)

5,445

92,783

Community Health Systems, Inc. (a)

74,458

2,773,561

Comprehensive Care Corp. (a)

300

285

Corvel Corp. (a)

10,620

319,874

Cross Country Healthcare, Inc. (a)

21,491

409,404

Cryolife, Inc.

23,279

183,206

DaVita, Inc. (a)

85,842

4,682,681

Dialysis Corp. of America (a)

7,648

105,542

Emergency Medical Services Corp. Class A (a)

8,611

227,589

Emeritus Corp. (a)

6,789

189,753

Five Star Quality Care, Inc. (a)

24,607

281,258

Genesis HealthCare Corp. (a)

17,240

1,086,982

Gentiva Health Services, Inc. (a)

25,101

495,494

Hanger Orthopedic Group, Inc. (a)

15,855

185,028

Health Grades, Inc. (a)

14,002

77,851

Health Net, Inc. (a)

93,737

5,012,117

HealthExtras, Inc. (a)

28,188

746,982

HealthSouth Corp. (a)

62,357

1,494,074

Healthspring, Inc.

34,074

719,984

Healthways, Inc. (a)

30,358

1,320,269

HearUSA, Inc. (a)

11,117

17,231

Henry Schein, Inc. (a)

72,867

3,801,471

HMS Holdings Corp. (a)

14,779

292,624

Hooper Holmes, Inc. (a)

50,431

194,159

Horizon Health Corp. (a)

9,996

195,322

Hythiam, Inc. (a)(d)

13,644

109,152

I-trax, Inc. (a)

31,500

126,000

Integramed America, Inc. (a)

10,000

152,500

InVentiv Health, Inc. (a)

24,546

895,193

Kindred Healthcare, Inc. (a)

30,255

995,995

Landauer, Inc.

6,794

345,611

Shares

Value

LCA-Vision, Inc.

19,294

$ 841,218

LHC Group, Inc. (a)

12,720

364,810

LifePoint Hospitals, Inc. (a)

46,027

1,684,588

Lincare Holdings, Inc. (a)

78,452

3,063,551

Magellan Health Services, Inc. (a)

30,882

1,291,176

Matria Healthcare, Inc. (a)

20,805

527,823

Medcath Corp. (a)

9,021

261,789

Medical Staffing Network Holdings, Inc. (a)

8,863

56,457

Metropolitan Health Networks, Inc. (a)

36,067

85,479

Molina Healthcare, Inc. (a)

9,397

292,811

MWI Veterinary Supply, Inc. (a)

5,699

176,840

National Healthcare Corp.

5,307

290,717

National Home Health Care Corp.

1,600

18,736

National Medical Health Card Systems, Inc. (a)

2,994

42,156

National Research Corp.

1,185

26,888

Nighthawk Radiology Holdings, Inc.

17,798

369,842

NovaMed Eyecare, Inc. (a)

33,673

249,180

Odyssey Healthcare, Inc. (a)

35,991

488,758

Omnicare, Inc.

99,585

4,136,761

Option Care, Inc.

22,677

301,151

Owens & Minor, Inc.

35,142

1,158,632

PainCare Holdings, Inc. (a)

63,158

43,579

PDI, Inc. (a)

3,836

38,744

Pediatric Services of America, Inc. (a)

16,212

210,756

Pediatrix Medical Group, Inc. (a)

39,933

2,160,375

Providence Service Corp. (a)(d)

11,318

248,996

PSS World Medical, Inc. (a)

58,610

1,215,571

Psychemedics Corp.

3,872

64,895

Psychiatric Solutions, Inc.

43,787

1,749,729

QMed, Inc.

4,585

20,541

Radiation Therapy Services, Inc. (a)

9,544

288,038

RehabCare Group, Inc. (a)

10,698

162,610

ResCare, Inc. (a)

17,138

305,399

Rotech Healthcare, Inc. (a)

15,900

44,997

Rural/Metro Corp. (a)

20,488

155,094

Sierra Health Services, Inc. (a)

41,577

1,545,001

SRI/Surgical Express, Inc. (a)

2,620

13,283

Sun Healthcare Group, Inc. (a)

33,342

438,447

Sunrise Senior Living, Inc.

34,683

1,359,227

Symbion, Inc. (a)

24,258

506,507

Triad Hospitals, Inc. (a)

70,102

3,438,503

U.S. Physical Therapy, Inc. (a)

16,352

220,916

United Surgical Partners International, Inc. (a)

39,805

1,215,645

Universal Health Services, Inc. Class B

39,787

2,302,076

VCA Antech, Inc. (a)

70,020

2,570,434

Visicu, Inc.

16,759

117,816

VistaCare, Inc. Class A (a)

9,859

92,872

Wellcare Health Plans, Inc. (a)

27,978

2,297,274

76,573,861

Health Care Technology - 0.3%

A.D.A.M., Inc. (a)

2,620

16,244

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Health Care Technology - continued

Allscripts Healthcare Solutions, Inc. (a)

37,686

$ 1,020,537

AMICAS, Inc. (a)

31,224

89,301

Cerner Corp. (a)(d)

50,835

2,649,012

Claimsnet.com, Inc. (a)

2,700

408

Computer Programs & Systems, Inc.

9,905

285,066

Dendrite International, Inc. (a)

31,354

399,450

Eclipsys Corp. (a)

34,462

720,945

Emageon, Inc. (a)(d)

18,876

220,283

Emdeon Corp. (a)

124,548

1,860,747

HealthAxis, Inc. (a)

190

338

HealthStream, Inc. (a)

6,041

22,654

iCAD, Inc. (a)

48,360

192,473

Mediware Information Systems, Inc. (a)

1,310

11,869

Merge Technologies, Inc.

15,882

80,045

Omnicell, Inc. (a)

26,838

520,926

Phase Forward, Inc. (a)

24,189

320,020

ProxyMed, Inc. (a)

3,259

18,609

Quadramed Corp. (a)

35,763

112,653

TriZetto Group, Inc. (a)

32,955

686,453

Vital Images, Inc. (a)

14,431

495,993

WebMD Health Corp. Class A (a)(d)

9,120

490,565

10,214,591

Life Sciences Tools & Services - 1.0%

Accelrys, Inc. (a)

29,292

186,297

Advanced Magnetics, Inc. (a)

11,305

666,656

Affymetrix, Inc. (a)

51,786

1,332,454

Albany Molecular Research, Inc. (a)

10,983

103,899

Alliance Pharmaceutical Corp. (a)

2,080

241

Applera Corp. - Celera Genomics Group (a)

58,482

813,485

Bio-Imaging Technologies, Inc. (a)

2,110

17,724

Bio-Rad Laboratories, Inc. Class A (a)

15,741

1,116,352

Bioanalytical Systems, Inc. (a)

4,772

31,925

BioVeris Corp. (a)

25,451

300,067

Bruker BioSciences Corp. (a)

29,315

264,128

Caliper Life Sciences, Inc. (a)

28,993

169,029

Cambrex Corp.

25,026

577,100

Charles River Laboratories International, Inc. (a)

54,313

2,490,251

Ciphergen Biosystems, Inc. (a)

8,010

10,413

Covance, Inc. (a)(d)

51,226

3,158,595

Cryo-Cell International, Inc. (a)

6,550

14,410

Dionex Corp. (a)

15,118

931,571

Diversa Corp. (a)(d)

30,931

232,292

Encorium Group, Inc. (a)

7,298

31,746

Enzo Biochem, Inc. (a)(d)

19,619

283,495

eResearchTechnology, Inc. (a)(d)

23,930

169,424

Exelixis, Inc. (a)

75,857

763,880

Gene Logic, Inc. (a)

7,441

13,394

Harvard Bioscience, Inc. (a)

8,617

43,688

Illumina, Inc. (a)

41,693

1,400,468

Shares

Value

Immunicon Corp. (a)

7,192

$ 20,425

Interleukin Genetics, Inc. (a)

6,973

34,516

Invitrogen Corp. (a)

39,994

2,529,621

Kendle International, Inc. (a)

9,169

317,706

Luminex Corp. (a)

20,616

290,067

Medivation, Inc. (a)

18,044

302,237

Medtox Scientific, Inc. (a)

8,211

108,467

Molecular Devices Corp. (a)

12,725

449,065

Nanogen, Inc. (a)

35,888

50,961

Nektar Therapeutics (a)(d)

69,823

828,101

PAREXEL International Corp. (a)

24,512

833,653

Pharmaceutical Product Development, Inc.

81,045

2,576,421

PharmaNet Development Group, Inc. (a)

16,840

342,189

PRA International (a)

13,580

272,415

Sequenom, Inc. (a)

25,316

106,074

Stratagene Corp.

1,955

16,715

Techne Corp. (a)

30,814

1,735,444

Third Wave Technologies, Inc. (a)

44,390

233,491

Tripos, Inc. (a)

2,058

1,235

Varian, Inc. (a)

26,948

1,466,780

Ventana Medical Systems, Inc. (a)

28,019

1,127,765

28,766,332

Pharmaceuticals - 1.0%

Abraxis BioScience, Inc. (a)

23,499

618,964

Acusphere, Inc. (a)(d)

1,403

3,802

Adams Respiratory Therapeutics, Inc. (a)

23,743

862,346

Adolor Corp. (a)

29,553

197,414

Advancis Pharmaceutical Corp. (a)(d)

4,491

11,272

Akorn, Inc. (a)

32,825

193,996

Alexza Pharmaceuticals, Inc.

14,000

140,280

Alpharma, Inc. Class A

31,681

835,111

Alteon, Inc. (a)

9,772

1,173

Anesiva, Inc. (a)

1,142

9,170

Atherogenics, Inc. (a)(d)

26,187

286,224

Auxilium Pharmaceuticals, Inc. (a)

18,555

230,639

AVANIR Pharmaceuticals Class A (a)

14,261

26,525

Barrier Therapeutics, Inc. (a)(d)

6,541

42,974

Bentley Pharmaceuticals, Inc. (a)

12,642

107,836

BioMimetic Therapeutics, Inc.

12,723

210,057

Bradley Pharmaceuticals, Inc. (a)

14,282

276,785

Caraco Pharmaceutical Laboratories Ltd. (a)

20,224

219,633

Collagenex Pharmaceuticals, Inc. (a)(d)

22,008

297,548

Columbia Laboratories, Inc. (a)

36,536

51,881

Corcept Therapeutics, Inc. (a)

7,957

8,753

Cortex Pharmaceuticals, Inc. (a)

7,017

11,929

Cypress Bioscience, Inc. (a)

27,092

210,234

DepoMed, Inc. (a)(d)

14,582

50,600

Discovery Laboratories, Inc. (a)(d)

33,851

74,472

Durect Corp. (a)(d)

36,548

147,288

Emisphere Technologies, Inc. (a)(d)

22,624

113,572

Endo Pharmaceuticals Holdings, Inc. (a)

115,305

3,598,669

Epicept Corp. (a)(d)

1,640

2,657

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Pharmaceuticals - continued

Heska Corp. (a)

20,430

$ 33,710

Hi-Tech Pharmacal Co., Inc. (a)(d)

9,053

99,674

Hollis-Eden Pharmaceuticals, Inc. (a)

6,761

36,509

Immtech Pharmaceuticals, Inc. (a)

2,377

14,096

Inspire Pharmaceuticals, Inc. (a)

46,517

320,967

Interpharm Holdings, Inc. (a)

2,260

3,955

Ista Pharmaceuticals, Inc. (a)

7,132

57,912

KV Pharmaceutical Co. Class A (a)

35,773

881,804

Matrixx Initiatives, Inc. (a)

3,745

66,923

Medicines Co. (a)

41,546

1,120,496

Medicis Pharmaceutical Corp. Class A

42,133

1,531,956

MGI Pharma, Inc. (a)

68,273

1,448,753

Nastech Pharmaceutical Co., Inc. (a)

15,653

180,949

New River Pharmaceuticals, Inc.

13,190

834,268

NitroMed, Inc. (a)(d)

19,202

73,928

Noven Pharmaceuticals, Inc. (a)

23,333

574,458

Nutrition 21, Inc. (a)(d)

16,280

26,699

Oxis International, Inc. (a)

5,100

1,275

Pain Therapeutics, Inc. (a)

28,510

224,944

Par Pharmaceutical Companies, Inc. (a)

32,153

780,675

Penwest Pharmaceuticals Co. (a)(d)

18,669

246,991

Perrigo Co.

66,464

1,109,949

Pharmos Corp. (a)

12,987

20,260

Pozen, Inc. (a)

22,220

349,521

Questcor Pharmaceuticals, Inc. (a)

47,623

59,529

Repros Therapeutics, Inc. (a)

15,715

178,051

Salix Pharmaceuticals Ltd. (a)

33,772

479,900

Santarus, Inc. (a)(d)

45,220

298,904

Sciele Pharma, Inc. (a)

26,421

607,683

SCOLR Pharma, Inc. (a)(d)

17,200

58,996

Sepracor, Inc. (a)(d)

89,506

4,704,435

Somaxon Pharmaceuticals, Inc. (a)

7,756

88,031

Spectrum Pharmaceuticals, Inc. (a)(d)

57,989

346,194

SuperGen, Inc. (a)(d)

43,317

207,055

Valeant Pharmaceuticals International

83,751

1,501,655

ViroPharma, Inc. (a)

50,644

810,304

Vivus, Inc. (a)(d)

59,578

235,333

Warner Chilcott Ltd.

58,909

876,566

Xenoport, Inc. (a)

19,956

514,466

Zila, Inc. (a)

11,602

24,480

29,874,058

TOTAL HEALTH CARE

314,856,926

INDUSTRIALS - 12.4%

Aerospace & Defense - 1.1%

AAR Corp. (a)

26,938

784,165

AeroVironment, Inc.

8,625

183,454

Alliant Techsystems, Inc. (a)

27,251

2,358,574

Applied Signal Technology, Inc.

17,972

289,709

Argon ST, Inc. (a)

10,954

265,415

Shares

Value

Armor Holdings, Inc. (a)

28,116

$ 1,790,708

Astronics Corp. (a)

3,368

60,119

BE Aerospace, Inc. (a)

64,057

1,933,881

Ceradyne, Inc. (a)

19,822

1,022,815

CPI Aerostructures, Inc. (a)

1,677

11,001

Cubic Corp.

19,229

405,732

Curtiss-Wright Corp.

35,307

1,235,039

DRS Technologies, Inc.

34,290

1,817,027

Ducommun, Inc. (a)

6,348

162,382

DynCorp International, Inc. Class A

16,696

277,154

EDO Corp.

17,717

425,917

Esterline Technologies Corp. (a)

19,178

784,764

GenCorp, Inc. (non-vtg.) (a)(d)

40,286

559,573

Heico Corp. Class A

19,833

634,061

Herley Industries, Inc. (a)

12,228

187,944

Hexcel Corp. (a)(d)

74,936

1,353,344

Innovative Solutions & Support, Inc. (a)

8,701

181,764

Ionatron, Inc. (d)

15,916

83,877

Irvine Sensors Corp. (a)

390

554

K&F Industries Holdings, Inc. (a)

18,051

443,874

Ladish Co., Inc. (a)

14,096

589,213

LMI Aerospace, Inc. (a)

5,920

106,501

Moog, Inc. Class A (a)

31,653

1,206,296

MTC Technologies, Inc. (a)

6,932

146,335

Orbital Sciences Corp. (a)

53,836

1,065,414

Pemco Aviation Group, Inc. (a)

664

5,026

Precision Castparts Corp.

107,081

9,741,159

Spirit AeroSystems Holdings, Inc. Class A

48,258

1,424,094

Stanley, Inc.

13,971

210,683

Sypris Solutions, Inc.

8,306

50,584

Taser International, Inc. (a)(d)

47,928

380,548

Teledyne Technologies, Inc. (a)

25,523

971,150

The Allied Defense Group, Inc. (a)(d)

7,168

86,446

Todd Shipyards Corp.

6,043

121,041

Triumph Group, Inc.

12,884

690,711

TVI Corp. (a)

29,926

58,056

United Industrial Corp.

7,610

410,560

34,516,664

Air Freight & Logistics - 0.7%

ABX Air, Inc. (a)

44,456

331,197

AirNet Systems, Inc. (a)

400

1,300

Atlas Air Worldwide Holdings, Inc. (a)

13,489

658,938

C.H. Robinson Worldwide, Inc.

136,916

6,977,239

Dynamex, Inc. (a)

9,891

236,988

EGL, Inc. (a)

28,263

995,140

Expeditors International of Washington, Inc.

176,750

7,927,238

Forward Air Corp.

27,631

901,323

Hub Group, Inc. Class A

31,085

984,462

Pacer International, Inc.

28,317

765,409

Park-Ohio Holdings Corp. (a)

8,657

157,904

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Air Freight & Logistics - continued

UTI Worldwide, Inc.

65,023

$ 1,959,793

Velocity Express Corp. (a)

10

13

21,896,944

Airlines - 0.7%

AirTran Holdings, Inc. (a)(d)

81,281

846,948

Alaska Air Group, Inc. (a)

33,865

1,388,465

Allegiant Travel Co.

6,729

229,863

AMR Corp. (a)(d)

161,676

5,511,535

Continental Airlines, Inc. Class B (a)(d)

73,007

2,891,077

ExpressJet Holdings, Inc. Class A (a)

34,207

247,317

Frontier Airlines Holdings, Inc. (a)(d)

24,186

162,288

Hawaiian Holdings, Inc. (a)

24,994

115,222

JetBlue Airways Corp. (a)(d)

137,970

1,698,411

MAIR Holdings, Inc. (a)

10,106

68,721

Mesa Air Group, Inc. (a)

31,372

238,741

Midwest Air Group, Inc. (a)

21,526

279,838

Pinnacle Airlines Corp. (a)

20,690

371,386

Republic Airways Holdings, Inc. (a)

27,249

540,075

SkyWest, Inc. (d)

54,320

1,387,876

UAL Corp. (a)(d)

78,902

3,155,291

US Airways Group, Inc. (a)

50,240

2,627,050

21,760,104

Building Products - 0.5%

Aaon, Inc.

9,753

270,841

Advanced Environmental Recycling Technologies, Inc. Class A (a)(d)

11,364

19,887

American Woodmark Corp.

10,570

420,052

Ameron International Corp.

7,159

528,907

Apogee Enterprises, Inc.

23,597

495,065

Armstrong World Industries, Inc. (a)

15,282

766,087

Builders FirstSource, Inc. (a)

13,109

236,224

ElkCorp

15,294

662,383

Goodman Global, Inc.

32,183

611,477

Griffon Corp. (a)

22,241

522,441

Insteel Industries, Inc.

8,390

154,460

International Aluminum Corp.

2,821

147,764

Lennox International, Inc.

52,433

1,799,501

NCI Building Systems, Inc. (a)

15,395

859,657

Owens Corning (a)

66,888

2,141,085

PGT, Inc.

8,670

112,016

PW Eagle, Inc. (d)

10,324

342,963

Quixote Corp.

10,799

220,732

Simpson Manufacturing Co. Ltd. (d)

33,985

1,128,982

Trex Co., Inc. (a)(d)

9,177

224,102

Universal Forest Products, Inc.

14,214

736,712

US Home Systems, Inc. (a)

1,441

18,315

USG Corp. (d)

61,295

3,321,576

15,741,229

Commercial Services & Supplies - 2.8%

A.T. Cross Co. Class A (a)

7,939

70,657

Shares

Value

ABM Industries, Inc.

39,362

$ 1,035,614

ACCO Brands Corp. (a)

43,322

943,553

Adesa, Inc.

70,864

1,948,760

Administaff, Inc.

18,519

657,239

Advisory Board Co. (a)

16,083

836,477

American Ecology Corp.

11,952

225,295

American Reprographics Co. (a)

23,399

774,741

Amrep Corp. (d)

2,187

197,683

Angelica Corp.

10,844

298,102

APAC Customer Services, Inc. (a)

13,380

64,090

Barrett Business Services, Inc.

6,200

151,094

Bowne & Co., Inc.

22,482

349,145

Brady Corp. Class A

40,402

1,322,761

Casella Waste Systems, Inc. Class A (a)

29,398

347,190

CBIZ, Inc. (a)

38,465

262,331

CDI Corp.

10,663

284,276

Central Parking Corp. (d)

12,239

271,583

Cenveo, Inc. (a)

30,413

670,911

ChoicePoint, Inc. (a)

64,729

2,516,664

Clean Harbors, Inc. (a)

11,343

572,935

Competitive Technologies, Inc. (a)

3,836

10,357

Comsys IT Partners, Inc. (a)

9,126

181,607

Consolidated Graphics, Inc. (a)

11,385

811,295

Copart, Inc. (a)

56,572

1,666,045

Cornell Companies, Inc. (a)

9,523

195,412

Corporate Executive Board Co.

34,304

2,669,194

Corrections Corp. of America (a)

47,381

2,480,869

CoStar Group, Inc. (a)(d)

16,629

779,401

Covanta Holding Corp. (a)

71,138

1,617,678

CRA International, Inc. (a)

8,845

458,083

Deluxe Corp.

43,383

1,339,233

Diamond Management & Technology Consultants, Inc.

25,988

392,159

Document Security Systems, Inc. (a)(d)

9,753

110,209

Dun & Bradstreet Corp.

51,309

4,529,559

Ennis, Inc.

16,601

428,306

Evans Systems, Inc. (a)

340

160

Exponent, Inc. (a)

8,808

162,155

First Advantage Corp. Class A (a)

10,252

255,172

First Consulting Group, Inc. (a)

16,842

203,451

Food Technology Service, Inc. (a)

6,071

17,242

FTI Consulting, Inc. (a)

35,669

1,197,408

Fuel Tech, Inc. (a)

11,302

287,071

G&K Services, Inc. Class A

19,453

731,238

GeoEye, Inc. (a)

10,285

186,467

GP Strategies Corp. (a)

14,690

131,622

Healthcare Services Group, Inc.

17,528

491,485

Heidrick & Struggles International, Inc. (a)

13,431

615,543

Herman Miller, Inc.

54,299

2,088,883

HNI Corp.

30,495

1,524,750

Hudson Highland Group, Inc. (a)

28,033

456,377

Humitech International Group, Inc. (a)

75

0

Huron Consulting Group, Inc. (a)

13,021

825,531

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Commercial Services & Supplies - continued

ICT Group, Inc. (a)

7,987

$ 216,128

IHS, Inc. Class A (a)

25,810

969,166

IKON Office Solutions, Inc.

81,546

1,140,013

Innerworkings, Inc.

29,905

405,213

Innotrac Corp. (a)

3,181

6,744

Integrated Alarm Services Group, Inc. (a)(d)

5,801

22,450

Interface, Inc. Class A (a)

47,313

748,492

Intersections, Inc. (a)

3,842

44,221

John H. Harland Co.

19,433

981,367

Kaiser Ventures LLC Class A (a)

100

0

Kelly Services, Inc. Class A (non-vtg.)

15,957

490,997

Kenexa Corp. (a)

14,861

500,667

Kforce, Inc. (a)

31,125

423,300

Knoll, Inc.

33,731

780,873

Korn/Ferry International (a)

39,708

916,461

Labor Ready, Inc. (a)

41,139

755,723

Layne Christensen Co. (a)

9,628

308,481

Learning Tree International, Inc. (a)

4,772

53,590

LECG Corp. (a)

17,331

232,929

M&F Worldwide Corp. (a)

13,753

532,929

Mac-Gray Corp. (a)

3,487

48,051

Manpower, Inc.

68,500

5,089,550

McGrath RentCorp.

22,234

661,906

Medialink Worldwide, Inc. (a)(d)

9,153

53,637

Mine Safety Appliances Co.

26,004

1,057,063

Mobile Mini, Inc.

27,426

738,582

Multi-Color Corp.

4,668

163,007

Nashua Corp. (a)

4,665

41,705

Navigant Consulting, Inc. (a)

45,819

887,514

Odyssey Marine Exploration, Inc. (a)

41,200

118,244

On Assignment, Inc. (a)

26,914

329,966

PeopleSupport, Inc. (a)

22,685

480,015

Perma-Fix Environmental Services, Inc. (a)

8,161

18,199

PHH Corp. (a)

48,705

1,377,864

Pike Electric Corp. (a)

16,493

295,555

PRG-Schultz International, Inc. (a)

1

10

Protection One, Inc. (d)

512

9,216

RCM Technologies, Inc. (a)

5,333

36,211

Republic Services, Inc.

87,766

3,692,316

Resources Connection, Inc. (a)

40,441

1,308,671

Rollins, Inc.

31,671

728,433

SAIC, Inc.

69,122

1,246,270

Schawk, Inc. Class A

8,849

155,300

School Specialty, Inc. (a)

19,272

719,038

Sirva, Inc. (a)

9,936

36,465

Spherion Corp. (a)

59,543

528,146

Spherix, Inc. (a)

5,297

9,799

Standard Parking Corp. (a)

3,872

131,609

Standard Register Co.

11,044

144,787

Shares

Value

Steelcase, Inc. Class A

48,252

$ 937,054

Stericycle, Inc. (a)(d)

38,855

3,023,308

Synagro Technologies, Inc.

105,827

604,272

Taleo Corp. Class A (a)

10,048

160,768

Team, Inc. (a)

5,770

197,103

TeamStaff, Inc. (a)

6,456

7,424

Teletech Holdings, Inc. (a)

27,038

851,156

Tetra Tech, Inc. (a)

45,053

803,295

The Brink's Co.

37,386

2,214,373

The Geo Group, Inc. (a)

17,567

821,960

TRC Companies, Inc. (a)

3,649

36,928

TRM Corp. (a)(d)

4,518

13,238

U.S. Liquids, Inc. (a)

500

0

United Stationers, Inc. (a)

24,647

1,355,585

UTEK Corp. (d)

10,333

132,779

Viad Corp.

15,820

589,770

Volt Information Sciences, Inc.

9,477

324,019

Waste Connections, Inc.

43,119

1,906,722

Waste Industries USA, Inc.

5,309

134,689

Waterlink, Inc. (a)

13,000

8

Watson Wyatt Worldwide, Inc. Class A

34,424

1,654,762

WCA Waste Corp. (a)

14,127

107,224

Westaff, Inc. (a)

6,445

35,319

86,193,692

Construction & Engineering - 0.7%

Comfort Systems USA, Inc.

30,009

408,422

EMCOR Group, Inc. (a)

26,922

1,616,935

Foster Wheeler Ltd. (a)

57,421

3,174,233

Granite Construction, Inc.

28,303

1,652,329

Infrasource Services, Inc. (a)

34,459

844,935

Insituform Technologies, Inc. Class A (a)

21,224

537,816

Integrated Electrical Services, Inc. (a)

10,323

242,074

Jacobs Engineering Group, Inc. (a)

46,336

4,185,994

KBR, Inc. (d)

20,822

473,284

Michael Baker Corp. (a)

6,664

160,602

Modtech Holdings, Inc. (a)

5,824

22,655

Perini Corp. (a)

17,679

641,571

Quanta Services, Inc. (a)

83,117

1,927,483

Shaw Group, Inc. (a)

64,317

1,979,677

Sterling Construction Co., Inc. (a)

7,183

135,184

URS Corp. (a)

41,118

1,709,275

Washington Group International, Inc. (a)

24,931

1,461,455

Xanser Corp. (a)

6,501

34,780

21,208,704

Electrical Equipment - 1.1%

A.O. Smith Corp.

16,094

622,355

Active Power, Inc. (a)

42,574

88,554

Acuity Brands, Inc.

34,041

1,885,871

American Superconductor Corp. (a)(d)

25,860

347,558

AMETEK, Inc.

85,316

2,917,807

AML Communications, Inc. (a)

4,959

6,248

AZZ, Inc. (a)

7,194

291,357

Baldor Electric Co.

30,674

1,116,534

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Electrical Equipment - continued

Beacon Power Corp. (a)

1,934

$ 1,755

Belden CDT, Inc.

34,892

1,617,942

BTU International, Inc. (a)

5,333

53,117

C&D Technologies, Inc.

41,016

228,459

Capstone Turbine Corp. (a)

73,813

64,955

Digital Power Corp. (a)

4,959

7,686

Distributed Energy Systems Corp. (a)(d)

27,692

83,907

Encore Wire Corp. (d)

10,750

279,070

Energy Conversion Devices, Inc. (a)(d)

34,512

1,038,811

EnerSys (a)

28,340

486,031

Evergreen Solar, Inc. (a)(d)

52,102

515,810

EXX, Inc. Class A (a)

3,975

14,111

Fiberstars, Inc. (a)

9,000

71,100

First Solar, Inc.

14,753

704,456

Franklin Electric Co., Inc.

12,891

624,698

FuelCell Energy, Inc. (d)

37,064

255,742

General Cable Corp.

42,054

2,100,597

Genlyte Group, Inc. (a)

20,419

1,416,874

GrafTech International Ltd. (a)

80,286

634,259

Hubbell, Inc. Class B

51,302

2,477,887

II-VI, Inc. (a)

24,899

769,877

LaBarge, Inc. (a)

3,526

46,191

Lamson & Sessions Co. (a)(d)

12,003

361,650

LSI Industries, Inc.

22,573

372,680

MagneTek, Inc. (a)

24,905

130,502

Medis Technologies Ltd. (a)(d)

17,535

301,251

Microfield Group, Inc. (a)

20,770

12,462

Microvision, Inc. (a)(d)

55,975

191,435

Millennium Cell, Inc. (a)

10,760

10,760

Peco II, Inc. (a)

2,700

2,565

Plug Power, Inc. (a)(d)

58,171

202,435

Powell Industries, Inc. (a)

3,555

107,219

Power-One, Inc. (a)

77,604

478,041

Preformed Line Products Co.

2,387

79,797

Regal-Beloit Corp.

23,241

1,051,423

Roper Industries, Inc.

70,111

3,724,296

Superior Essex, Inc. (a)

17,936

570,544

Technology Research Corp.

3,139

15,695

Thomas & Betts Corp. (a)

46,250

2,350,425

Ultralife Batteries, Inc. (a)(d)

14,770

132,930

UQM Technologies, Inc. (a)

9,558

43,967

Valence Technology, Inc. (a)(d)

28,181

48,753

Vicor Corp.

14,143

132,096

Woodward Governor Co.

24,562

1,023,253

32,113,798

Industrial Conglomerates - 0.4%

Carlisle Companies, Inc.

23,116

2,014,328

McDermott International, Inc. (a)

89,543

4,315,973

Raven Industries, Inc.

17,290

499,854

Sequa Corp. Class A

6,103

748,228

Standex International Corp.

13,917

391,903

Shares

Value

Teleflex, Inc.

27,548

$ 1,843,512

Tredegar Corp.

22,613

504,496

Walter Industries, Inc.

38,032

948,138

11,266,432

Machinery - 2.6%

3D Systems Corp. (a)(d)

10,723

194,622

A.S.V., Inc. (a)(d)

19,924

310,814

Accuride Corp. (a)

25,655

343,777

Actuant Corp. Class A

20,319

1,060,652

AGCO Corp. (a)

72,344

2,622,470

Alamo Group, Inc.

3,665

88,253

Albany International Corp. Class A

19,056

651,715

American Railcar Industries, Inc.

6,226

190,765

American Science & Engineering, Inc. (a)

6,072

310,644

Ampco-Pittsburgh Corp.

3,730

94,556

Astec Industries, Inc. (a)

12,330

474,212

Axsys Technologies, Inc. (a)

6,806

115,566

Badger Meter, Inc.

7,904

233,247

Baldwin Technology Co., Inc. Class A (a)

3,555

17,917

Barnes Group, Inc.

36,936

824,781

Basin Water, Inc. (d)

5,840

45,786

Blount International, Inc. (a)

30,055

354,950

Briggs & Stratton Corp.

39,897

1,166,588

Bucyrus International, Inc. Class A

27,193

1,385,483

Cascade Corp.

10,800

612,036

Catalytica Energy Systems, Inc. (a)

8,234

14,986

Chart Industries, Inc.

10,205

173,383

Circor International, Inc.

13,104

451,564

CLARCOR, Inc.

49,508

1,534,253

Columbus McKinnon Corp. (NY Shares) (a)

13,284

308,189

Commercial Vehicle Group, Inc. (a)

23,576

457,139

Crane Co.

39,904

1,519,943

Donaldson Co., Inc.

66,671

2,390,822

Dynamic Materials Corp.

7,896

246,908

Eastern Co.

7,453

181,853

EnPro Industries, Inc. (a)

16,362

621,592

ESCO Technologies, Inc. (a)

21,495

936,967

Federal Signal Corp.

41,599

626,065

Flanders Corp. (a)

10,793

84,293

Flow International Corp. (a)

32,121

389,307

Flowserve Corp. (a)

46,167

2,396,991

Force Protection, Inc. (a)(d)

53,841

877,608

FreightCar America, Inc.

9,610

476,079

Gardner Denver, Inc. (a)

43,503

1,473,447

Gehl Co. (a)

7,751

196,565

Gorman-Rupp Co.

14,693

423,158

Graco, Inc.

49,259

1,995,482

Graham Corp.

4,038

60,974

Greenbrier Companies, Inc. (d)

15,064

429,475

Hardinge, Inc.

3,618

81,043

Harsco Corp.

33,565

2,879,877

Hirsch International Corp. Class A (a)

2,100

5,250

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Machinery - continued

Hurco Companies, Inc. (a)

6,978

$ 269,909

IDEX Corp.

47,751

2,483,530

Joy Global, Inc.

97,756

4,334,501

K-Tron International, Inc. (a)

2,734

197,641

Kadant, Inc. (a)

10,799

253,129

Kaydon Corp.

24,116

1,045,911

Kennametal, Inc.

34,518

2,112,502

Key Technology, Inc. (a)

2,697

45,094

L.B. Foster Co. Class A (a)

8,604

169,929

Lincoln Electric Holdings, Inc.

31,586

1,970,966

Lindsay Corp.

9,496

326,093

Lydall, Inc. (a)

19,210

274,895

Manitowoc Co., Inc.

50,654

2,973,390

Met-Pro Corp.

6,581

102,269

Middleby Corp. (a)

5,813

641,058

Milacron, Inc.

13,450

10,222

Miller Industries, Inc. (a)

8,914

201,902

Mueller Industries, Inc.

32,321

963,166

Mueller Water Products, Inc.:

Class A (d)

39,960

595,404

Class B

62,845

932,620

NACCO Industries, Inc. Class A

5,002

642,407

Navistar International Corp. (a)

53,629

2,174,656

Nordson Corp.

25,208

1,229,646

Omega Flex, Inc.

3,426

77,085

Oshkosh Truck Co.

58,107

3,117,441

Paragon Technologies, Inc. (a)

1,565

9,249

Pentair, Inc.

82,307

2,569,625

Portec Rail Products, Inc.

5,406

55,412

RBC Bearings, Inc. (a)

17,814

581,271

Robbins & Myers, Inc.

8,822

345,558

Spire Corp. (a)

200

2,110

SPX Corp.

44,769

3,129,353

Sun Hydraulics Corp.

10,640

233,974

Tecumseh Products Co. Class A (non-vtg.) (a)(d)

17,767

302,394

Tennant Co.

17,405

535,726

The L.S. Starrett Co. Class A

5,190

93,939

Timken Co.

69,798

1,994,827

Titan International, Inc. (d)

13,144

321,239

Toro Co.

36,128

1,898,526

Trinity Industries, Inc.

66,979

2,803,071

TurboChef Technologies, Inc. (a)(d)

14,658

220,017

Twin Disc, Inc.

3,578

153,675

Valmont Industries, Inc.

13,420

761,182

Wabash National Corp.

25,195

405,891

Wabtec Corp.

38,530

1,240,666

Watts Water Technologies, Inc. Class A

25,624

965,000

78,100,118

Marine - 0.2%

Alexander & Baldwin, Inc.

39,208

1,937,659

Shares

Value

American Commercial Lines, Inc. (a)

40,386

$ 1,459,146

Eagle Bulk Shipping, Inc.

22,770

455,400

Excel Maritime Carriers Ltd. (a)

14,221

253,845

Genco Shipping & Trading Ltd.

11,502

349,661

Horizon Lines, Inc. Class A

17,616

510,688

International Shipholding Corp. (a)

4,464

79,459

Kirby Corp. (a)

43,637

1,594,496

6,640,354

Road & Rail - 0.9%

AMERCO (a)

5,289

343,891

Arkansas Best Corp.

17,378

685,910

Avis Budget Group, Inc.

79,899

2,124,514

Celadon Group, Inc. (a)

16,572

296,805

Con-way, Inc.

38,925

1,911,218

Covenant Transport, Inc. Class A (a)

4,491

51,961

Dollar Thrifty Automotive Group, Inc. (a)

20,712

1,075,574

Florida East Coast Industries, Inc. Class A

16,017

974,634

Frozen Food Express Industries, Inc.

4,026

33,738

Genesee & Wyoming, Inc. Class A (a)

32,219

836,405

Heartland Express, Inc.

47,140

778,281

Hertz Global Holdings, Inc.

78,311

1,664,892

J.B. Hunt Transport Services, Inc.

88,505

2,350,693

Kansas City Southern (d)

61,004

1,954,568

Knight Transportation, Inc.

47,474

886,814

Laidlaw International, Inc.

68,874

2,354,113

Landstar System, Inc.

48,269

2,157,142

Marten Transport Ltd. (a)

18,360

306,428

Old Dominion Freight Lines, Inc. (a)

30,609

952,246

P.A.M. Transportation Services, Inc. (a)

3,368

77,127

Patriot Transportation Holding, Inc. (a)

534

45,524

Quality Distribution, Inc. (a)

6,526

56,124

Saia, Inc. (a)

10,643

289,915

Swift Transportation Co., Inc.

37,596

1,157,581

U.S. Xpress Enterprises, Inc. Class A (a)

6,026

116,242

Universal Truckload Services, Inc. (a)

5,000

121,250

USA Truck, Inc. (a)

4,594

74,561

Werner Enterprises, Inc.

50,060

965,157

YRC Worldwide, Inc. (a)

46,987

2,042,995

26,686,303

Trading Companies & Distributors - 0.7%

Aceto Corp.

13,271

110,813

Aircastle Ltd.

24,508

843,810

Applied Industrial Technologies, Inc.

27,844

667,978

Beacon Roofing Supply, Inc. (a)(d)

40,814

678,737

BlueLinx Corp.

14,464

170,964

Electro Rent Corp. (a)

14,337

218,066

Empire Resources, Inc. (d)

3,903

40,552

Fastenal Co.

115,039

4,057,426

GATX Corp.

37,246

1,719,275

H&E Equipment Services, Inc.

13,420

354,422

Houston Wire & Cable Co. (d)

6,301

156,076

Huttig Building Products, Inc. (a)

6,924

42,444

Interline Brands, Inc. (a)

21,315

451,025

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Trading Companies & Distributors - continued

Kaman Corp.

14,710

$ 335,535

Lawson Products, Inc.

2,516

98,602

MSC Industrial Direct Co., Inc. Class A

39,738

1,714,297

NuCo2, Inc. (a)(d)

10,939

268,443

Rush Enterprises, Inc. Class A (a)

25,209

468,131

TAL International Group, Inc.

13,278

318,274

TransDigm Group, Inc.

14,260

454,894

UAP Holding Corp.

29,745

754,631

United Rentals, Inc. (a)

54,236

1,550,065

Watsco, Inc.

18,985

956,274

WESCO International, Inc. (a)

40,932

2,731,392

Williams Scotsman International, Inc. (a)

17,831

363,039

Willis Lease Finance Corp.

2,246

23,583

19,548,748

Transportation Infrastructure - 0.0%

Interpool, Inc.

13,630

332,572

Macquarie Infrastructure Co. Trust

26,003

1,001,116

1,333,688

TOTAL INDUSTRIALS

377,006,778

INFORMATION TECHNOLOGY - 13.9%

Communications Equipment - 1.4%

3Com Corp. (a)

328,527

1,271,399

ACE*COMM Corp. (a)

4,585

4,356

Acme Packet, Inc.

19,434

322,799

Adtran, Inc.

53,503

1,232,174

Airspan Networks, Inc. (a)(d)

55,386

251,452

Alliance Fiber Optic Products, Inc. (a)

23,499

47,233

AltiGen Communications, Inc. (a)

1,965

3,144

American Access Technologies, Inc. (a)

3,100

2,948

Anaren, Inc. (a)

13,340

222,378

Andrew Corp. (a)

139,794

1,484,612

Applied Innovation, Inc. (a)

4,398

14,689

Arris Group, Inc. (a)

82,971

1,090,239

Avanex Corp. (a)(d)

102,664

191,982

Avici Systems, Inc. (a)

5,006

43,903

Avocent Corp. (a)

39,482

1,256,712

Aware, Inc. (a)

10,854

59,588

Bel Fuse, Inc. Class B (non-vtg.)

8,174

259,851

Black Box Corp.

12,372

468,651

Blue Coat Systems, Inc. (a)(d)

10,558

341,340

Bookham, Inc. (a)

57,200

149,864

C-COR, Inc. (a)

39,930

545,045

Carrier Access Corp. (a)

8,499

42,070

Comarco, Inc. (a)

2,807

22,484

CommScope, Inc. (a)

50,718

1,951,121

Communications Systems, Inc.

2,049

21,822

Comtech Telecommunications Corp. (a)

17,025

584,809

Digi International, Inc. (a)

20,366

272,293

Ditech Networks, Inc. (a)

24,840

192,510

Shares

Value

Dycom Industries, Inc. (a)

35,403

$ 885,075

EFJ, Inc. (a)

12,549

79,310

EMS Technologies, Inc. (a)

13,418

268,763

Endwave Corp. (a)

18,064

227,064

Entrada Networks, Inc. (a)

292

0

eOn Communications Corp. (a)

3,013

4,037

Extreme Networks, Inc. (a)

110,073

485,422

Ezenia!, Inc. (a)

2,900

6,380

F5 Networks, Inc. (a)

33,137

2,406,409

Finisar Corp. (a)(d)

189,430

604,282

Foundry Networks, Inc. (a)

103,599

1,512,545

Glenayre Technologies, Inc. (a)

64,254

168,345

Globecomm Systems, Inc. (a)

18,319

203,890

Harmonic, Inc. (a)

58,676

516,936

Harris Corp.

106,001

5,202,529

Harris Stratex Networks, Inc. (a)

15,045

306,918

Hughes Communications, Inc. (a)

2,184

98,062

Inter-Tel, Inc.

18,007

416,682

InterDigital Communication Corp. (a)

44,613

1,548,963

ION Networks, Inc. (a)

12,500

1,250

ISCO International, Inc. (a)

19,929

5,779

Ixia (a)

25,559

281,660

KVH Industries, Inc. (a)

19,517

195,951

Lantronix, Inc. (a)

17,964

28,024

Loral Space & Communications Ltd. (a)

12,027

559,857

MasTec, Inc. (a)

31,599

362,125

Microwave Filter Co., Inc.

3,836

4,220

MRV Communications, Inc. (a)(d)

91,561

345,185

NETGEAR, Inc. (a)

30,136

814,576

Network Engines, Inc. (a)

9,093

19,004

Network Equipment Technologies, Inc. (a)

26,253

207,661

Nextwave Wireless, Inc. (a)

17,155

199,684

NMS Communications Corp. (a)

36,033

67,382

NumereX Corp. Class A (a)

4,959

48,400

Occam Networks, Inc. (a)

8,924

121,099

Oplink Communications, Inc. (a)

13,673

225,468

Opnext, Inc.

5,351

90,164

Optelecom Nkf, Inc. (a)

1,053

10,309

Optical Cable Corp. (a)

1,228

6,459

Optical Cable Corp. warrants 10/24/07 (a)

1,083

1,218

Optical Communication Products, Inc. (a)

7,672

10,818

Optium Corp. (d)

5,296

121,861

ORBCOMM, Inc. (d)

18,975

244,398

Packeteer, Inc. (a)

33,076

396,912

Parkervision, Inc. (a)(d)

17,166

187,281

PC-Tel, Inc. (a)

22,837

237,505

Pegasus Wireless Corp. warrants 8/11/08 (a)

4,310

56

Performance Technologies, Inc. (a)

4,304

22,166

Plantronics, Inc.

44,599

912,496

Polycom, Inc. (a)

74,607

2,379,963

Powerwave Technologies, Inc. (a)

88,261

469,549

Radyne Corp. (a)

20,583

201,302

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Communications Equipment - continued

Riverbed Technology, Inc. (d)

12,359

$ 393,387

SafeNet, Inc. (a)

20,290

556,961

SCM Microsystems, Inc. (a)

4,117

16,550

SeaChange International, Inc. (a)

31,672

323,054

Sirenza Microdevices, Inc. (a)(d)

33,336

258,354

Sonus Networks, Inc. (a)

204,846

1,575,266

SpectraLink Corp. (a)

20,020

234,034

Stratos International, Inc. (a)

2,179

16,234

Sycamore Networks, Inc. (a)

185,978

712,296

Symmetricom, Inc. (a)

36,266

306,810

Tekelec (a)(d)

62,915

783,921

Telkonet, Inc. (a)(d)

34,540

94,640

Telular Corp. (a)

4,093

14,326

Terabeam, Inc. (a)

2,250

5,018

Tollgrade Communications, Inc. (a)

15,734

188,651

Tut Systems, Inc. (a)

5,838

6,655

UTStarcom, Inc. (a)(d)

98,847

913,346

Veramark Technologies, Inc. (a)

1,700

1,751

ViaSat, Inc. (a)

23,078

788,344

Vyyo, Inc. (a)(d)

7,423

31,919

Wave Wireless Corp. (a)

40

0

Wegener Corp. (a)

11,602

12,762

Westell Technologies, Inc. Class A (a)

93,476

217,799

Wi-Tron, Inc. (a)

2,500

100

WJ Communications, Inc. (a)

17,073

25,439

Zhone Technologies, Inc. (a)

173,196

200,907

43,751,386

Computers & Peripherals - 1.1%

ActivIdentity Corp. (a)

30,377

158,264

Adaptec, Inc. (a)

97,213

354,827

Ampex Corp. Class A (a)

1,884

32,537

Avid Technology, Inc. (a)(d)

34,299

1,145,587

Brocade Communications Systems, Inc. (a)

302,008

2,721,092

Concurrent Computer Corp. (a)

79,110

124,994

CopyTele, Inc. (a)

16,655

13,990

Cray, Inc. (a)

29,711

397,236

Datalink Corp. (a)

2,058

18,121

Dataram Corp.

3,649

16,421

Diebold, Inc.

49,507

2,345,147

Dot Hill Systems Corp. (a)

30,475

105,748

Electronics for Imaging, Inc. (a)

53,247

1,215,097

Emulex Corp. (a)

74,136

1,327,034

FOCUS Enhancements, Inc. (a)

7,672

10,357

Gateway, Inc. (a)

202,907

420,017

Hauppauge Digital, Inc. (a)

4,117

28,860

HEI, Inc. (a)

3,368

4,311

Hutchinson Technology, Inc. (a)(d)

21,473

485,719

Hypercom Corp. (a)

33,443

189,622

Imation Corp.

27,600

1,148,436

Immersion Corp. (a)

12,108

88,388

Shares

Value

InFocus Corp. (a)

16,952

$ 46,279

Innovex, Inc. (a)

4,552

8,649

Intermec, Inc. (a)(d)

38,418

860,563

Interphase Corp. (a)

2,203

24,850

Iomega Corp. (a)

46,398

156,825

Komag, Inc. (a)

23,613

802,606

LaserCard Corp. (a)(d)

11,480

144,533

MidgardXXI, Inc. (a)

814

24

Mobility Electronics, Inc. (a)(d)

18,109

59,035

MTI Technology Corp. (a)

9,637

8,673

Neoware, Inc. (a)(d)

14,217

167,476

Novatel Wireless, Inc. (a)

33,008

436,036

Overland Storage, Inc. (a)

6,049

24,801

Palm, Inc. (d)

79,424

1,314,467

Presstek, Inc. (a)(d)

19,299

113,478

Printronix, Inc.

1,310

17,135

Qualstar Corp. (a)

2,735

8,861

Quantum Corp. (a)

171,906

424,608

Rackable Systems, Inc. (a)

20,122

350,324

Rimage Corp. (a)

10,658

301,835

Seagate Technology

469,908

12,640,525

Silicon Graphics, Inc. (a)

8,036

229,026

SimpleTech, Inc. (a)(d)

16,223

139,842

Socket Communications, Inc. (a)

8,047

8,208

Stratasys, Inc. (a)(d)

8,706

319,336

Synaptics, Inc. (a)

20,063

492,346

Transact Technologies, Inc. (a)

2,830

26,913

ViewCast.com, Inc. (a)

10,386

4,362

Western Digital Corp. (a)

177,322

3,399,263

Zoom Technologies, Inc. (a)

5,240

8,279

34,890,963

Electronic Equipment & Instruments - 2.1%

Acacia Research Corp. - Acacia Technologies (a)

24,810

342,626

Advanced Photonix, Inc. Class A (a)(d)

11,134

22,825

Aeroflex, Inc. (a)

70,624

807,232

Aetrium, Inc. (a)

100

381

Agilysys, Inc.

23,755

498,855

Allied Motion Technologies, Inc. (a)

3,555

21,330

American Technical Ceramics Corp. (a)

2,713

37,819

American Technology Corp. (a)

2,713

10,065

Amphenol Corp. Class A

70,216

4,531,741

Anixter International, Inc. (a)(d)

26,307

1,631,034

APA Enterprises, Inc. (a)

3,836

5,025

Arrow Electronics, Inc. (a)

101,354

3,883,885

Avnet, Inc. (a)

118,175

4,321,660

AVX Corp.

37,968

580,151

Axcess, Inc. (a)

6,529

9,532

Bell Industries, Inc. (a)

7,298

34,301

Bell Microproducts, Inc. (a)

21,017

143,966

Benchmark Electronics, Inc. (a)

61,994

1,331,631

Brightpoint, Inc. (a)

43,183

521,219

CalAmp Corp. (a)

25,303

224,944

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Electronic Equipment & Instruments - continued

Cash Technologies, Inc. (a)

2,900

$ 3,045

CDW Corp. (d)

49,988

3,103,255

Checkpoint Systems, Inc. (a)

29,088

568,961

Chyron Corp. (a)

7,000

7,980

Cogent, Inc. (a)(d)

32,677

368,923

Cognex Corp.

38,437

842,923

Coherent, Inc. (a)

25,857

777,261

Color Kinetics, Inc. (a)(d)

19,493

356,722

CPI International, Inc.

8,558

150,022

CTS Corp.

29,802

403,817

CyberOptics Corp. (a)

11,204

153,495

Daktronics, Inc.

28,451

758,788

DDi Corp. (a)

20,393

140,304

Digital Angel Corp. (a)(d)

7,990

19,895

Dolby Laboratories, Inc. Class A (a)

25,320

810,240

DTS, Inc. (a)

18,680

451,869

Echelon Corp. (a)(d)

15,261

144,827

Electro Scientific Industries, Inc. (a)

32,818

706,243

En Pointe Technologies, Inc. (a)

2,994

10,539

Excel Technology, Inc. (a)

11,164

298,190

FARO Technologies, Inc. (a)

11,945

322,396

FLIR Systems, Inc. (a)

58,411

2,030,366

Frequency Electronics, Inc.

1,170

13,163

Gerber Scientific, Inc. (a)

18,124

191,027

Giga-Tronics, Inc. (a)

4,585

9,170

Global Imaging Systems, Inc. (a)

44,603

895,182

GTSI Corp. (a)

3,743

38,141

I. D. Systems Inc. (a)(d)

11,645

176,305

Ingram Micro, Inc. Class A (a)

128,270

2,492,286

InPlay Technologies, Inc. (a)

4,023

7,443

Insight Enterprises, Inc. (a)

36,041

696,312

Intelli-Check, Inc. (a)

1,429

10,432

IPG Photonics Corp.

7,244

167,988

Iteris, Inc. (a)

4,304

11,276

Itron, Inc. (a)(d)

21,539

1,391,850

Jaco Electronics, Inc. (a)

3,836

14,500

Keithley Instruments, Inc.

19,213

291,077

KEMET Corp. (a)

65,753

512,873

L-1 Identity Solutions, Inc. (d)

56,896

904,077

LeCroy Corp. (a)

12,897

117,234

LightPath Technologies, Inc. Class A (a)

1,150

5,946

Littelfuse, Inc. (a)

18,342

675,536

LoJack Corp. (a)

11,896

226,500

Lumera Corp. (a)(d)

13,075

56,092

Maxwell Technologies, Inc. (a)(d)

10,739

148,306

MDI, Inc. (a)

7,859

6,366

Measurement Specialties, Inc. (a)

7,492

172,766

Mechanical Technology, Inc. (a)

9,637

15,516

Mercury Computer Systems, Inc. (a)

28,979

368,613

Merix Corp. (a)

15,740

141,188

Mesa Laboratories, Inc.

4,207

83,593

Shares

Value

Methode Electronics, Inc. Class A

31,984

$ 345,747

Mettler-Toledo International, Inc. (a)

29,779

2,571,714

Micronetics, Inc. (a)

3,743

27,324

MTS Systems Corp.

14,636

552,948

Multi-Fineline Electronix, Inc. (a)

6,965

128,226

Napco Security Systems, Inc. (d)

17,472

90,854

National Instruments Corp.

45,611

1,223,743

Newport Corp. (a)

32,507

580,575

NU Horizons Electronics Corp. (a)

14,521

143,467

OSI Systems, Inc. (a)(d)

13,701

342,525

OYO Geospace Corp. (a)

3,097

210,503

Par Technology Corp.

6,450

58,502

Park Electrochemical Corp.

16,110

450,436

Paxar Corp. (a)

33,222

765,103

PC Connection, Inc. (a)(d)

13,930

229,566

Perceptron, Inc. (a)

2,600

23,660

Photon Dynamics, Inc. (a)

10,818

127,652

Planar Systems, Inc. (a)

18,106

161,868

Plexus Corp. (a)

33,712

552,877

RadiSys Corp. (a)

24,357

382,892

RAE Systems, Inc. (a)(d)

46,052

148,287

Research Frontiers, Inc. (a)(d)

22,011

205,583

RF Industries Ltd. (a)

2,339

17,893

RF Monolithics, Inc. (a)

3,462

14,367

Richardson Electronics Ltd.

33,307

306,757

Rofin-Sinar Technologies, Inc. (a)

14,405

866,317

Rogers Corp. (a)

14,684

710,852

Satcon Technology Corp. (a)(d)

5,988

8,922

ScanSource, Inc.

23,128

639,720

Sigmatron International, Inc. (a)

762

7,536

Smart Modular Tech WWH, Inc.

33,557

364,093

Spatializer Audio Labs, Inc. (a)

12,700

267

Spectrum Control, Inc. (a)

14,200

150,520

Staktek Holdings, Inc. (a)

7,258

29,540

StockerYale, Inc. (a)

2,400

3,720

Sunpower Corp. Class A (a)(d)

10,604

459,153

Suntron Corp. (a)

13,394

16,341

SYNNEX Corp. (a)

10,287

194,424

Tech Data Corp. (a)

47,077

1,755,031

Technitrol, Inc.

35,695

784,933

Tessco Technologies, Inc.

4,000

107,520

Trimble Navigation Ltd. (a)

91,726

2,427,070

TTM Technologies, Inc. (a)

43,404

492,201

Universal Display Corp. (a)(d)

22,490

292,820

Vishay Intertechnology, Inc. (a)

143,393

2,043,350

X-Rite, Inc.

20,571

242,944

Zones, Inc. (a)

3,275

31,407

Zygo Corp. (a)

13,142

210,141

62,732,932

Internet Software & Services - 1.2%

24/7 Real Media, Inc. (a)

33,049

318,592

Access Integrated Technologies, Inc. Class A (a)(d)

12,538

83,378

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Internet Software & Services - continued

Akamai Technologies, Inc. (a)(d)

124,844

$ 6,438,205

Answers Corp. (a)(d)

6,496

80,356

aQuantive, Inc. (a)(d)

55,180

1,398,261

Ariba, Inc. (a)

60,736

565,452

Art Technology Group, Inc. (a)

80,342

174,342

Autobytel, Inc. (a)

47,104

183,706

Bankrate, Inc. (a)(d)

9,377

380,612

Chordiant Software, Inc. (a)

23,568

215,647

CMGI, Inc. (a)

355,612

547,642

CNET Networks, Inc. (a)

122,663

1,076,981

Communication Intelligence Corp. (a)

7,900

2,252

Corillian Corp. (a)

43,480

217,400

CyberSource Corp. (a)

34,792

425,158

DealerTrack Holdings, Inc. (a)

29,443

852,375

deltathree, Inc. (a)

4,398

6,949

Digital River, Inc. (a)

31,356

1,736,809

DivX, Inc. (d)

13,459

276,852

DSL.net, Inc. (a)

12,818

154

Dynabazaar, Inc. (a)

5,600

1,848

EarthLink, Inc. (a)

91,605

652,228

eCollege.com (a)(d)

12,145

211,080

EDGAR Online, Inc. (a)

3,836

12,390

eGain Communications Corp. (a)

1,156

1,329

Elcom International, Inc. (a)

6,500

585

Entrust, Inc. (a)

55,731

241,315

Equinix, Inc. (a)(d)

20,694

1,710,773

Firstwave Technologies, Inc. (a)

1,123

3,156

Globix Corp. (a)

62,474

293,628

Goldleaf Financial Solutions, Inc. (a)

407

2,743

Greenfield Online, Inc. (a)

15,076

224,783

I-Many, Inc. (a)

9,263

17,322

iBasis, Inc. (a)

25,502

257,570

iMergent, Inc. (a)(d)

8,356

146,564

InfoSpace, Inc. (a)

23,418

533,930

Innodata Isogen, Inc. (a)

7,485

19,087

InsWeb Corp. (a)

283

959

Internap Network Services Corp. (a)

30,065

565,823

Internet America, Inc. (a)

6,082

1,642

Internet Capital Group, Inc. (a)

26,835

306,992

Internet Commerce Corp. Class A (a)

3,400

8,500

Interwoven, Inc. (a)

29,600

450,512

iPass, Inc. (a)(d)

58,644

299,084

j2 Global Communications, Inc. (a)

36,451

876,282

Jupiter Media Metrix, Inc. (a)

14,700

0

Jupitermedia Corp. (a)

11,806

101,059

Keynote Systems, Inc. (a)

6,393

83,812

Kintera, Inc. (a)

6,752

10,196

Liquidity Services, Inc.

9,772

176,385

LivePerson, Inc. (a)

43,962

256,738

LookSmart Ltd. (a)

5,164

22,360

LoopNet, Inc. (d)

19,206

322,085

Shares

Value

LQ Corp., Inc. (a)

1,092

$ 1,310

Marchex, Inc. Class B (d)

16,526

222,770

MIVA, Inc. (a)

10,274

42,945

NaviSite, Inc. (a)

8,077

52,420

Neomedia Technologies, Inc. (a)

5,500

250

NetRatings, Inc. (a)

11,507

238,540

NIC, Inc.

30,079

159,118

Omniture, Inc. (d)

22,905

356,173

On2.Com, Inc. (a)(d)

162,348

191,571

Online Resources Corp. (a)

15,282

158,169

Onstream Media Corp. (a)

1,100

3,300

Onvia.com, Inc. (a)

1,133

7,931

Openwave Systems, Inc. (a)(d)

71,224

581,188

Optio Software, Inc. (a)

3,200

5,248

Perficient, Inc. (a)

23,093

448,697

PlanetOut, Inc. (a)

12,610

49,053

Prescient Applied Intel, Inc. (a)

150

15

RealNetworks, Inc. (a)

82,492

673,135

S1 Corp. (a)

55,793

289,008

Saba Software, Inc. (a)

24,380

176,999

SAVVIS, Inc. (a)

14,976

643,519

Selectica, Inc. (a)

7,017

13,613

SonicWALL, Inc. (a)

65,928

574,892

Supportsoft, Inc. (a)

35,140

208,380

Switch & Data Facilities Co., Inc.

9,194

179,099

Synergy Brands, Inc. (a)

515

381

Terremark Worldwide, Inc. (a)(d)

39,407

312,892

The Knot, Inc. (a)(d)

20,725

489,939

The Sedona Corp. (a)

8,300

1,411

TheStreet.com, Inc.

12,520

139,598

Think Partnership, Inc. (a)

31,103

103,884

Traffic.com, Inc.

13,025

99,641

Travelzoo, Inc. (a)

1,369

46,012

Tumbleweed Communications Corp. (a)

69,582

242,841

United Online, Inc.

60,721

798,481

US Dataworks, Inc. (a)

4,512

1,985

ValueClick, Inc. (a)

82,607

2,189,086

VCampus Corp. (a)

380

68

Vignette Corp. (a)

26,195

467,319

Vitria Technology, Inc. (a)

7,321

20,206

Vocus, Inc. (a)

5,876

116,580

Web.com, Inc. (a)

4,656

24,211

WebEx Communications, Inc. (a)

37,898

1,645,910

webMethods, Inc. (a)

58,531

397,425

Websense, Inc. (a)

35,854

816,037

WebSideStory, Inc. (a)(d)

19,465

247,206

Website Pros, Inc. (a)

16,429

151,147

WorldGate Communications, Inc. (a)

10,573

11,947

Zix Corp. (a)

12,791

21,745

36,417,178

IT Services - 2.4%

Accenture Ltd. Class A

445,754

15,913,418

Acxiom Corp.

56,973

1,216,943

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

IT Services - continued

Affinity Technology Group, Inc. (a)

12,100

$ 1,815

Alliance Data Systems Corp. (a)

53,730

3,210,368

Analysts International Corp. (a)

9,684

16,560

Answerthink, Inc. (a)

44,735

144,494

Applied Digital Solutions, Inc. (a)

41,642

67,460

BearingPoint, Inc. (a)

154,805

1,238,440

CACI International, Inc. Class A (a)

24,120

1,121,580

Carreker Corp. (a)

30,649

244,579

Cass Information Systems, Inc.

4,500

151,740

Ceridian Corp. (a)

116,452

3,798,664

CheckFree Corp. (a)

58,786

2,229,165

Ciber, Inc. (a)

44,222

310,881

Computer Horizons Corp. (a)

29,612

138,288

Computer Task Group, Inc. (a)

11,529

53,956

Covansys Corp. (a)

13,399

330,419

CSG Systems International, Inc. (a)

42,838

1,056,385

CSP, Inc. (a)

3,555

31,995

Direct Insite Corp. (a)

53

56

DST Systems, Inc. (a)

40,100

2,823,842

DynTek, Inc. (a)

804

137

Edgewater Technology, Inc. (a)

4,972

38,682

eFunds Corp. (a)

40,782

1,024,036

Electronic Clearing House, Inc. (a)

10,439

194,792

eLoyalty Corp.

4,735

96,452

Enherent Corp. (a)

8,200

779

ePresence, Inc.

5,520

0

Euronet Worldwide, Inc. (a)(d)

28,996

792,461

ExlService Holdings, Inc.

4,189

94,923

Forrester Research, Inc. (a)

15,786

423,538

Gartner, Inc. Class A (a)

58,810

1,244,420

Gevity HR, Inc.

18,970

377,882

Global Cash Access Holdings, Inc. (a)

43,141

663,509

Global Payments, Inc.

63,003

2,423,725

Heartland Payment Systems, Inc. (d)

13,322

331,984

Hewitt Associates, Inc. Class A (a)

86,173

2,586,913

iGate Corp. (a)

13,687

92,661

Infocrossing, Inc. (a)(d)

13,968

218,320

Inforte Corp. (a)

1,679

5,910

infoUSA, Inc.

35,867

368,354

Integral Systems, Inc.

10,707

265,212

Iron Mountain, Inc. (a)

144,510

4,024,604

Isilon Systems, Inc.

8,993

175,094

Keane, Inc. (a)

40,656

557,800

Lightbridge, Inc. (a)

25,032

404,016

Lionbridge Technologies, Inc. (a)

47,040

252,605

ManTech International Corp. Class A (a)

16,498

568,356

Mastercard, Inc. Class A

49,761

5,333,384

Maximus, Inc.

16,744

504,664

MoneyGram International, Inc.

68,360

2,054,902

MPS Group, Inc. (a)

83,700

1,198,584

MTM Technologies, Inc. (a)

1,200

1,632

Shares

Value

NCI, Inc. Class A (a)

6,000

$ 100,860

New Century Equity Holdings Corp.

5,500

1,485

Perot Systems Corp. Class A (a)

75,185

1,264,612

PFSweb, Inc. (a)

13,371

13,241

Rainmaker Systems, Inc. (a)

15,480

130,187

RightNow Technologies, Inc. (a)

14,199

236,697

Safeguard Scientifics, Inc. (a)

102,664

290,539

Sapient Corp. (a)

63,204

394,393

SI International, Inc. (a)

11,360

318,307

SM&A (a)

4,117

29,684

SRA International, Inc. Class A (a)

31,983

757,997

StarTek, Inc.

4,563

46,679

Storage Engine, Inc. (a)

500

5

Sykes Enterprises, Inc. (a)

17,836

286,089

Syntel, Inc.

13,822

495,933

TALX Corp.

24,542

835,164

Technology Solutions Co. (a)

479

3,789

TechTeam Global, Inc. (a)

6,114

73,674

The BISYS Group, Inc. (a)

99,947

1,313,304

The Management Network Group, Inc. (a)

14,649

27,980

TNS, Inc. (a)

18,791

315,313

Total System Services, Inc. (d)

31,697

989,580

TSR, Inc.

4,079

17,377

Tyler Technologies, Inc. (a)

26,754

364,657

VeriFone Holdings, Inc. (a)

46,331

1,809,226

WidePoint Corp. (a)

5,600

11,760

Wright Express Corp. (a)

32,011

911,673

Zanett, Inc. (a)

5,579

8,815

71,470,399

Office Electronics - 0.1%

Zebra Technologies Corp. Class A (a)

58,347

2,311,125

Semiconductors & Semiconductor Equipment - 3.1%

8X8, Inc. (a)(d)

9,978

14,169

Actel Corp. (a)

16,843

281,952

Advanced Analogic Technologies, Inc. (a)

26,029

168,928

Advanced Energy Industries, Inc. (a)

32,839

661,377

Agere Systems, Inc. (a)

139,466

3,055,700

AMIS Holdings, Inc. (a)

34,638

392,449

Amkor Technology, Inc. (a)

91,404

1,053,888

Amtech Systems, Inc. (a)

4,491

31,617

ANADIGICS, Inc. (a)(d)

45,575

556,471

Applied Micro Circuits Corp. (a)

243,691

943,084

Asyst Technologies, Inc. (a)

35,628

251,534

Atheros Communications, Inc. (a)

45,609

1,152,539

Atmel Corp. (a)

371,674

2,059,074

ATMI, Inc. (a)

31,888

1,059,957

Axcelis Technologies, Inc. (a)

73,491

535,014

AXT, Inc. (a)

6,269

30,781

Brooks Automation, Inc. (a)

59,449

923,243

Cabot Microelectronics Corp. (a)

20,422

668,412

California Micro Devices Corp. (a)

27,193

139,228

Catalyst Semiconductor, Inc. (a)

7,298

24,375

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Semiconductors & Semiconductor Equipment - continued

Centillium Communications, Inc. (a)

84,859

$ 164,626

Ceva, Inc. (a)

16,486

119,194

Cirrus Logic, Inc. (a)

75,191

651,906

Cohu, Inc.

13,557

252,702

Conexant Systems, Inc. (a)

419,658

835,119

Credence Systems Corp. (a)

83,523

379,194

Cree, Inc. (a)(d)

62,224

1,095,142

Cymer, Inc. (a)

28,621

1,189,489

Cypress Semiconductor Corp. (a)

120,370

2,287,030

Diodes, Inc. (a)

13,974

524,584

DSP Group, Inc. (a)

22,414

461,504

Eagle Test Systems, Inc.

5,799

102,468

Electroglas, Inc. (a)(d)

6,456

15,430

EMCORE Corp. (a)(d)

28,611

128,177

Entegris, Inc. (a)

90,469

1,007,825

ESS Technology, Inc. (a)

12,644

15,931

Exar Corp. (a)

26,161

351,865

Fairchild Semiconductor International, Inc. (a)

95,601

1,788,695

FEI Co. (a)

30,520

1,001,056

FormFactor, Inc. (a)

36,323

1,552,808

FSI International, Inc. (a)

31,373

160,630

Genesis Microchip, Inc. (a)(d)

29,121

231,512

Hi/fn, Inc. (a)

3,346

18,303

Hittite Microwave Corp. (a)

9,875

414,158

Ibis Technology Corp. (a)(d)

5,001

6,851

Ikanos Communications, Inc. (a)

13,860

125,017

Integrated Device Technology, Inc. (a)

164,455

2,667,460

Integrated Silicon Solution, Inc. (a)

45,730

275,752

International Rectifier Corp. (a)

56,832

2,439,229

Intersil Corp. Class A

111,963

2,961,421

Intevac, Inc. (a)

13,428

366,182

IXYS Corp. (a)

22,486

232,730

Kopin Corp. (a)

52,672

190,146

Kulicke & Soffa Industries, Inc. (a)

55,666

528,827

Lam Research Corp. (a)

114,760

5,125,182

Lattice Semiconductor Corp. (a)

91,737

565,100

Leadis Technology, Inc. (a)

36,160

146,086

Logic Devices, Inc. (a)

8,982

18,683

LogicVision, Inc. (a)

5,047

5,047

LTX Corp. (a)

39,917

248,284

Marvell Technology Group Ltd. (a)

376,617

7,728,181

Mattson Technology, Inc. (a)

40,710

358,655

MEMC Electronic Materials, Inc. (a)

138,659

7,150,645

Micrel, Inc. (a)

45,500

530,530

Micro Component Technology, Inc. (a)

6,643

1,196

Microchip Technology, Inc.

164,606

5,859,974

Microsemi Corp. (a)

58,893

1,193,172

Microtune, Inc. (a)

62,874

278,532

Mindspeed Technologies, Inc. (a)(d)

73,473

178,539

MIPS Technologies, Inc. (a)

34,478

321,335

Shares

Value

MKS Instruments, Inc. (a)

29,415

$ 709,490

Monolithic Power Systems, Inc. (a)

10,222

129,717

MoSys, Inc. (a)(d)

21,647

168,197

Nanometrics, Inc. (a)

3,555

27,160

NeoMagic Corp. (a)

2,507

9,251

Netlogic Microsystems, Inc. (a)(d)

13,596

339,084

Nextest Systems Corp.

6,129

75,387

NVE Corp. (a)(d)

3,977

100,737

Omnivision Technologies, Inc. (a)(d)

50,503

654,519

ON Semiconductor Corp. (a)

185,525

1,821,856

PDF Solutions, Inc. (a)

15,168

172,764

Pericom Semiconductor Corp. (a)

29,067

294,158

Photronics, Inc. (a)

29,739

458,575

Pixelworks, Inc. (a)

25,246

48,725

PLX Technology, Inc. (a)

18,777

188,333

QuickLogic Corp. (a)

5,545

14,639

Rambus, Inc. (a)(d)

75,926

1,512,446

Ramtron International Corp. (a)

4,828

12,311

RF Micro Devices, Inc. (a)

161,891

1,291,890

Rudolph Technologies, Inc. (a)

23,492

382,920

Semitool, Inc. (a)

27,663

359,896

Semtech Corp. (a)

60,264

863,583

Sigma Designs, Inc. (a)(d)

21,853

616,036

SigmaTel, Inc. (a)

51,235

181,884

Silicon Image, Inc. (a)

58,674

516,918

Silicon Laboratories, Inc. (a)

42,026

1,269,185

Silicon Storage Technology, Inc. (a)

69,338

367,491

SiRF Technology Holdings, Inc. (a)(d)

41,016

1,172,647

Skyworks Solutions, Inc. (a)

137,950

910,470

Spansion, Inc. Class A (a)

73,689

896,058

SRS Labs, Inc. (a)

19,110

214,223

Standard Microsystems Corp. (a)

20,796

594,142

Supertex, Inc. (a)

7,135

292,892

Techwell, Inc.

11,794

141,764

Tegal Corp. (a)

888

4,351

Tessera Technologies, Inc. (a)

37,943

1,533,656

Therma-Wave, Inc. (a)

6,802

10,815

Transmeta Corp. (a)

131,909

94,974

Transwitch Corp. (a)

129,236

175,761

Trident Microsystems, Inc. (a)

42,621

942,350

TriQuint Semiconductor, Inc. (a)

109,672

548,360

Ultra Clean Holdings, Inc. (a)

19,832

323,262

Ultratech, Inc. (a)

14,773

195,595

Varian Semiconductor Equipment Associates, Inc. (a)

43,379

2,073,082

Veeco Instruments, Inc. (a)

26,553

520,173

Virage Logic Corp. (a)

6,362

52,041

Volterra Semiconductor Corp. (a)(d)

28,282

398,211

White Electronic Designs Corp. (a)

5,571

37,604

Zilog, Inc. (a)

8,368

35,564

Zoran Corp. (a)

37,552

618,481

92,629,524

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Software - 2.5%

Activision, Inc. (a)

224,801

$ 3,758,673

Actuate Corp. (a)

49,006

259,732

Adept Technology, Inc. (a)

1,291

9,256

Advent Software, Inc. (a)

17,829

645,410

Agile Software Corp. (a)

64,006

410,278

Altiris, Inc. (a)

18,172

591,317

American Software, Inc. Class A

22,733

167,088

Analytical Surveys, Inc. (a)

240

122

Ansoft Corp. (a)

13,234

410,122

Ansys, Inc. (a)

29,907

1,525,855

Applix, Inc. (a)

12,674

153,355

ARI Network Services, Inc. (a)

2,620

5,502

Aspen Technology, Inc. (a)

45,691

548,292

Atari, Inc. (a)

4,056

20,726

Authentidate Holding Corp. (a)

8,307

13,291

Avatech Solutions, Inc. (a)

735

1,213

AXS-One, Inc. (a)

5,614

4,098

BEA Systems, Inc. (a)

312,121

3,723,604

Bitstream, Inc. Class A (a)

3,682

26,069

Blackbaud, Inc.

34,583

791,259

Blackboard, Inc. (a)

24,263

809,414

Borland Software Corp. (a)(d)

89,834

466,238

Bottomline Technologies, Inc. (a)

18,875

231,030

BSQUARE Corp. (a)

2,830

12,084

Cadence Design Systems, Inc. (a)(d)

222,568

4,438,006

Callidus Software, Inc. (a)

15,599

116,369

CAM Commerce Solutions, Inc.

1,965

48,830

Captaris, Inc. (a)

19,666

122,126

Catapult Communications Corp. (a)

3,462

35,139

CommVault Systems, Inc.

18,333

304,878

Concur Technologies, Inc. (a)

30,526

493,605

Convera Corp. Class A (a)(d)

32,212

98,569

DATATRAK International, Inc. (a)

9,664

49,190

Datawatch Corp. (a)

3,120

9,672

Digimarc Corp. (a)

26,885

291,971

Dynamics Research Corp. (a)

2,901

29,271

ebix.com, Inc. (a)

421

11,788

Embarcadero Technologies, Inc. (a)

7,901

48,512

Epicor Software Corp. (a)

46,370

624,140

EPIQ Systems, Inc. (a)(d)

26,659

472,664

ePlus, Inc. (a)

3,612

38,793

eSpeed, Inc. Class A (a)

22,397

190,598

Evans & Sutherland Computer Corp. (a)

4,929

14,787

Evolving Systems, Inc. (a)

3,885

7,576

FactSet Research Systems, Inc.

30,657

1,865,785

Fair, Isaac & Co., Inc.

53,352

2,082,329

FalconStor Software, Inc. (a)(d)

35,338

355,147

GraphOn Corp. (a)

7,300

1,256

GSE Systems, Inc. (a)

1,893

13,592

Guardian Technologies International (a)

560

493

Hyperion Solutions Corp. (a)

47,818

2,048,523

Shares

Value

i2 Technologies, Inc. (a)(d)

9,321

$ 221,933

Informatica Corp. (a)

75,017

972,220

Interactive Intelligence, Inc. (a)

2,713

40,125

Intervoice, Inc. (a)

30,006

192,639

Jack Henry & Associates, Inc.

73,221

1,717,765

JDA Software Group, Inc. (a)

23,714

352,390

Kronos, Inc. (a)

23,888

943,576

Lawson Software, Inc. (a)(d)

122,157

967,483

Logility, Inc. (a)

7,206

51,883

Macrovision Corp. (a)

45,410

1,120,265

Magma Design Automation, Inc. (a)

30,182

304,235

Majesco Entertainment Co. (a)

18,551

28,012

Manhattan Associates, Inc. (a)

20,433

568,446

MapInfo Corp. (a)

18,383

257,362

McAfee, Inc. (a)

129,837

3,910,690

Mentor Graphics Corp. (a)

70,927

1,197,957

MICROS Systems, Inc. (a)

32,830

1,830,601

MicroStrategy, Inc. Class A (a)

8,650

1,090,506

Midway Games, Inc. (a)(d)

19,693

132,928

Mobius Management Systems, Inc. (a)

6,867

49,030

Moldflow Corp. (a)

3,930

55,806

MSC.Software Corp. (a)

30,185

405,988

Napster, Inc. (a)

25,066

97,507

NAVTEQ Corp. (a)

78,460

2,507,582

NetManage, Inc. (a)

1,259

6,547

NetScout Systems, Inc. (a)

30,257

261,118

Netsmart Technologies, Inc. (a)

3,644

59,069

NetSol Technologies, Inc. (a)

880

1,452

Nuance Communications, Inc. (a)

112,170

1,580,475

Omtool Ltd. (a)

200

586

OpenTV Corp. Class A (a)

89,696

235,004

Opnet Technologies, Inc. (a)

18,393

260,445

Opsware, Inc. (a)(d)

67,147

495,545

Parametric Technology Corp. (a)

92,680

1,767,408

PASW, Inc. (a)

3,300

3,795

Peerless Systems Corp. (a)

6,456

13,235

Pegasystems, Inc.

8,702

76,926

Pervasive Software, Inc. (a)

3,743

15,122

Phoenix Technologies Ltd. (a)

29,298

182,234

Plato Learning, Inc. (a)

26,002

132,610

Progress Software Corp. (a)

32,873

922,088

QAD, Inc.

13,833

115,782

Quality Systems, Inc. (d)

15,811

647,144

Quest Software, Inc. (a)

41,864

683,220

Quovadx, Inc. (a)

11,829

31,110

Radiant Systems, Inc. (a)

16,141

193,692

Red Hat, Inc. (a)

155,021

3,480,221

Renaissance Learning, Inc.

1,747

23,585

Salesforce.com, Inc. (a)

64,246

2,779,282

Scientific Learning Corp. (a)

3,264

21,216

SCO Group, Inc. (a)

3,511

3,616

Secure Computing Corp. (a)

54,971

471,651

Smith Micro Software, Inc. (a)

12,638

170,487

Sona Mobile Holdings Corp. (a)

2,400

1,152

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Software - continued

Sonic Foundry, Inc. (a)

10,711

$ 41,023

Sonic Solutions, Inc. (a)

19,943

289,772

SPSS, Inc. (a)

15,151

523,770

StorageNetworks, Inc. (a)

29,377

0

SumTotal Systems, Inc. (a)

15,011

130,746

Sybase, Inc. (a)

72,482

1,811,325

Synchronoss Technologies, Inc.

6,875

123,819

Synopsys, Inc. (a)

111,920

2,862,914

Synplicity, Inc. (a)

6,924

44,037

Take-Two Interactive Software, Inc. (a)(d)

63,869

1,136,868

TeleCommunication Systems, Inc. Class A (a)(d)

34,846

127,188

TenFold Corp. (a)

6,737

3,234

THQ, Inc. (a)

51,884

1,671,184

TIBCO Software, Inc. (a)

179,146

1,621,271

Transaction Systems Architects, Inc. Class A (a)

31,639

1,116,857

Ultimate Software Group, Inc. (a)

23,707

631,554

Unica Corp. (a)

7,764

87,423

VA Software Corp. (a)

41,920

180,675

Vasco Data Security International, Inc. (a)

22,503

395,828

Versant Corp. (a)

308

5,603

Vertical Communications, Inc. (a)

1,066

1,013

Voxware, Inc. (a)

43

125

Wave Systems Corp. Class A (a)

4,905

11,183

Wind River Systems, Inc. (a)

75,126

781,310

Witness Systems, Inc. (a)

24,718

658,240

76,307,345

TOTAL INFORMATION TECHNOLOGY

420,510,852

MATERIALS - 4.5%

Chemicals - 2.0%

A. Schulman, Inc.

23,241

490,153

ADA-ES, Inc. (a)

6,212

97,839

Airgas, Inc.

54,891

2,265,352

Albemarle Corp.

30,162

2,468,760

Altair Nanotechnologies, Inc. (a)(d)

51,810

177,190

American Pacific Corp. (a)

6,762

69,784

American Vanguard Corp. (d)

24,106

416,070

Arch Chemicals, Inc.

18,575

570,624

Balchem Corp.

14,994

222,061

Cabot Corp.

47,265

2,113,691

Calgon Carbon Corp. (a)(d)

19,943

135,612

Celanese Corp. Class A

110,509

3,158,347

CF Industries Holdings, Inc.

42,746

1,652,560

Chemtura Corp.

201,423

2,312,336

Cytec Industries, Inc.

30,662

1,803,539

Eden Bioscience Corp. (a)

3,742

3,330

Ferro Corp.

32,326

685,311

Shares

Value

Flotek Industries, Inc. (a)(d)

5,811

$ 160,965

FMC Corp.

28,900

2,126,173

Georgia Gulf Corp.

33,843

649,109

H.B. Fuller Co.

45,539

1,137,109

Hawkins, Inc.

5,284

84,280

Huntsman Corp.

71,501

1,462,195

ICO, Inc. (a)

24,602

144,168

Innophos Holdings, Inc.

9,200

151,892

Koppers Holdings, Inc.

17,451

428,073

Kronos Worldwide, Inc.

4,133

141,101

Landec Corp. (a)

24,673

330,125

LESCO, Inc. (a)

4,008

57,515

LSB Industries, Inc. (a)

3,264

43,999

Lubrizol Corp.

53,651

2,789,852

Lyondell Chemical Co.

181,625

5,786,573

MacDermid, Inc.

19,199

664,477

Material Sciences Corp. (a)

8,000

86,160

Minerals Technologies, Inc.

17,357

1,074,225

Nalco Holding Co.

73,705

1,761,550

Nanophase Technologies Corp. (a)(d)

5,146

30,670

NewMarket Corp.

15,561

682,972

NL Industries, Inc.

2,181

23,947

Olin Corp.

60,986

1,055,058

OM Group, Inc. (a)

24,597

1,246,330

OMNOVA Solutions, Inc. (a)

52,546

319,480

Penford Corp.

12,815

265,142

Pioneer Companies, Inc. (a)

7,295

226,145

PolyOne Corp. (a)

66,589

446,812

Quaker Chemical Corp.

13,460

316,983

Rockwood Holdings, Inc. (a)

33,382

909,660

RPM International, Inc.

106,892

2,501,273

Sensient Technologies Corp.

36,505

894,007

Spartech Corp.

23,694

627,417

Stepan Co.

6,460

174,743

Symyx Technologies, Inc. (a)

25,975

434,042

Terra Industries, Inc.

78,239

1,365,271

Terra Nitrogen Co. LP

7,339

329,888

The Mosaic Co.

117,349

2,985,359

The Scotts Miracle-Gro Co. Class A

35,425

1,562,597

Tronox, Inc. Class A

33,649

513,484

Valhi, Inc.

8,061

179,841

Valspar Corp.

74,698

2,025,063

W.R. Grace & Co. (a)(d)

48,758

1,201,397

Wellman, Inc.

18,990

60,008

Westlake Chemical Corp.

17,796

529,075

Xethanol Corp. (a)(d)

28,810

70,296

Zoltek Companies, Inc. (a)(d)

12,430

367,431

59,066,491

Construction Materials - 0.4%

Eagle Materials, Inc.

38,883

1,801,061

Florida Rock Industries, Inc.

40,463

2,726,397

Headwaters, Inc. (a)(d)

38,571

909,118

Martin Marietta Materials, Inc.

36,358

4,556,385

Common Stocks - continued

Shares

Value

MATERIALS - continued

Construction Materials - continued

Texas Industries, Inc.

19,776

$ 1,566,457

U.S. Concrete, Inc. (a)

25,666

224,321

11,783,739

Containers & Packaging - 0.6%

AEP Industries, Inc. (a)

5,838

264,578

Aptargroup, Inc.

25,104

1,651,843

Caraustar Industries, Inc. (a)

16,241

127,817

Chesapeake Corp.

13,782

212,656

Constar International, Inc. (a)

2,862

26,245

Crown Holdings, Inc. (a)

129,124

2,949,192

Graphic Packaging Corp. (a)

75,894

364,291

Greif Brothers Corp. Class A

13,730

1,612,314

MOD-PAC Corp. (sub. vtg.) (a)

1,684

18,827

Myers Industries, Inc.

23,494

400,103

Owens-Illinois, Inc.

115,352

2,740,764

Packaging Corp. of America

61,846

1,515,227

Rock-Tenn Co. Class A

30,848

1,001,635

Silgan Holdings, Inc.

19,193

944,488

Smurfit-Stone Container Corp.

211,010

2,603,863

Sonoco Products Co.

79,316

2,936,278

19,370,121

Metals & Mining - 1.3%

A.M. Castle & Co.

12,246

352,685

AK Steel Holding Corp. (a)

93,460

2,161,730

Amcol International Corp.

19,794

561,160

Brush Engineered Materials, Inc. (a)

15,090

676,334

Canyon Resources Corp. (a)

8,249

6,022

Carpenter Technology Corp.

20,453

2,424,703

Century Aluminum Co. (a)

18,305

833,427

Chaparral Steel Co.

33,850

1,686,746

Claymont Steel Holdings, Inc.

11,442

221,174

Cleveland-Cliffs, Inc.

34,546

1,948,394

Coeur d'Alene Mines Corp. (a)

244,857

1,106,754

Commercial Metals Co.

100,430

2,765,842

Compass Minerals International, Inc.

27,111

885,716

Friedman Industries

7,344

61,543

Gibraltar Industries, Inc.

23,536

547,212

Hecla Mining Co.

86,639

667,120

Idaho General Mines, Inc. (a)

33,324

83,310

Kaiser Aluminum Corp. (a)

14,187

960,176

Meridian Gold, Inc. (a)

81,885

2,246,053

Metal Management, Inc.

19,301

772,812

Metalline Mining Co. (a)(d)

25,343

65,132

Mines Management, Inc. (a)(d)

11,916

63,751

NN, Inc.

18,519

219,080

Northwest Pipe Co. (a)

8,811

322,306

Olympic Steel, Inc.

5,717

168,308

Quanex Corp.

28,665

1,120,515

Reliance Steel & Aluminum Co.

51,057

2,331,263

Rock of Ages Corp. Class A (a)

600

3,060

Shares

Value

Royal Gold, Inc. (d)

19,635

$ 649,919

RTI International Metals, Inc. (a)

18,639

1,608,173

Ryerson Tull, Inc. (d)

22,399

770,526

Schnitzer Steel Industries, Inc. Class A

19,896

746,697

Southern Copper Corp.

55,788

3,927,475

Steel Dynamics, Inc.

75,279

2,841,029

Steel Technologies, Inc.

9,322

273,321

Stillwater Mining Co. (a)

43,478

553,475

Titanium Metals Corp.

65,203

2,275,585

Universal Stainless & Alloy Products, Inc. (a)

5,512

255,316

US Energy Corp. (a)

20,737

117,371

US Gold Corp. (a)(d)

15,676

72,110

Vista Gold Corp. (a)

16,085

126,750

Wheeling Pittsburgh Corp. (a)

10,561

261,385

Worthington Industries, Inc. (d)

54,332

1,082,293

40,823,753

Paper & Forest Products - 0.2%

Bowater, Inc.

43,641

1,055,239

Buckeye Technologies, Inc. (a)

31,272

397,780

Deltic Timber Corp.

10,156

526,284

Glatfelter

28,046

475,941

Louisiana-Pacific Corp.

83,904

1,731,779

MAXXAM, Inc. (a)

2,331

66,200

Neenah Paper, Inc.

16,227

602,022

Pope & Talbot, Inc. (a)

3,531

27,895

Schweitzer-Mauduit International, Inc.

12,705

303,141

Wausau-Mosinee Paper Corp.

49,919

722,328

5,908,609

TOTAL MATERIALS

136,952,713

TELECOMMUNICATION SERVICES - 2.1%

Diversified Telecommunication Services - 0.7%

Alaska Communication Systems Group, Inc.

33,687

492,841

Allegiance Telecom, Inc. (a)

15,750

0

Arbinet-thexchange, Inc. (a)

25,856

161,600

Atlantic Tele-Network, Inc.

9,462

266,828

C2 Global Technologies, Inc. (a)

275

220

Cbeyond, Inc.

11,360

352,955

Cincinnati Bell, Inc.

208,674

953,640

Cogent Communications Group, Inc. (a)

38,554

869,778

Commonwealth Telephone Enterprises, Inc.

16,738

715,047

Consolidated Communications Holdings, Inc.

22,499

458,530

Covad Communications Group, Inc. (a)(d)

309,064

370,877

CT Communications, Inc.

14,682

346,055

D&E Communications, Inc.

5,104

67,118

eLEC Communications Corp. (a)

14,200

5,680

Eschelon Telecom, Inc. (a)

9,506

226,528

FairPoint Communications, Inc.

30,797

588,223

Common Stocks - continued

Shares

Value

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

Fonix Corp. (a)

595

$ 1

General Communications, Inc. Class A (a)

36,915

547,449

Global Crossing Ltd. (a)(d)

18,477

525,301

HickoryTech Corp.

10,207

72,674

Hungarian Telephone & Cable Corp. (a)

3,053

56,481

IDT Corp. Class B (a)

57,439

750,153

Iowa Telecommunication Services, Inc.

22,349

447,650

Level 3 Communications, Inc. (a)(d)

883,292

5,803,228

Moscow CableCom Corp. (a)

3,275

40,938

NeuStar, Inc. Class A (a)

59,245

1,895,840

North Pittsburgh Systems, Inc.

13,368

289,551

NTELOS Holding Corp.

16,508

308,204

Premiere Global Services, Inc. (a)

70,557

735,204

Rapid Link, Inc. (a)

4,800

336

Shenandoah Telecommunications Co.

7,394

325,928

SureWest Communications

12,202

291,384

Time Warner Telecom, Inc. Class A
(sub. vtg.) (a)

100,509

2,212,203

U.S. LEC Corp. Class A (a)

22,258

226,586

Vonage Holdings Corp. (d)

38,962

202,602

Warwick Valley Telephone Co.

842

14,221

XETA Technologies, Inc. (a)

3,181

9,607

20,631,461

Wireless Telecommunication Services - 1.4%

American Tower Corp. Class A (a)

345,938

13,401,638

Centennial Communications Corp. Class A

17,544

138,247

Crown Castle International Corp. (a)

186,892

6,122,582

Dobson Communications Corp. Class A

119,053

1,057,191

FiberTower Corp. (a)(d)

94,661

504,543

GoAmerica, Inc. (a)

118

894

InPhonic, Inc. (a)(d)

26,942

334,889

IPCS, Inc. (a)

11,068

567,235

LCC International, Inc. (a)

9,142

46,350

Leap Wireless International, Inc. (a)

38,155

2,578,133

Metro One Telecommunications, Inc. (a)

1,637

3,356

NII Holdings, Inc. (a)(d)

113,093

8,011,508

Rural Cellular Corp. Class A (a)

15,611

203,411

SBA Communications Corp. Class A (a)

72,572

1,957,267

SkyTerra Communications, Inc.

1,881

17,305

SunCom Wireless Holdings, Inc. Class A (a)

20,145

24,577

Syniverse Holdings, Inc. (a)

32,836

371,047

Telephone & Data Systems, Inc.

86,898

4,839,350

U.S. Cellular Corp.

12,417

890,920

USA Mobility, Inc.

20,032

388,220

Wireless Facilities, Inc. (a)

21,324

46,060

41,504,723

TOTAL TELECOMMUNICATION SERVICES

62,136,184

Shares

Value

UTILITIES - 4.1%

Electric Utilities - 1.2%

Allete, Inc.

26,906

$ 1,260,008

Central Vermont Public Service Corp.

4,526

113,195

Cleco Corp.

55,234

1,447,131

DPL, Inc.

88,715

2,676,532

Duquesne Light Holdings, Inc.

64,045

1,287,945

El Paso Electric Co. (a)

39,370

926,770

Empire District Electric Co.

26,330

631,657

Great Plains Energy, Inc.

61,730

1,919,186

Green Mountain Power Corp.

3,042

104,706

Hawaiian Electric Industries, Inc.

59,512

1,557,429

IDACORP, Inc.

40,132

1,398,199

ITC Holdings Corp.

28,977

1,272,380

MGE Energy, Inc.

15,846

529,415

Northeast Utilities

132,797

3,859,081

Otter Tail Corp.

22,165

725,239

Pepco Holdings, Inc.

154,080

4,101,610

Portland General Electric Co.

25,726

727,789

Reliant Energy, Inc. (a)

249,533

4,219,603

Sierra Pacific Resources (a)

169,989

2,951,009

UIL Holdings Corp.

22,166

807,507

Unisource Energy Corp.

33,612

1,274,231

Unitil Corp.

2,839

76,369

Westar Energy, Inc.

72,267

1,941,814

35,808,805

Gas Utilities - 1.1%

AGL Resources, Inc.

60,670

2,471,089

Amerigas Partners LP

22,419

717,856

Atmos Energy Corp.

64,107

2,020,653

Cascade Natural Gas Corp.

4,582

119,132

Chesapeake Utilities Corp.

11,688

358,237

Delta Natural Gas Co., Inc.

2,782

69,327

Energen Corp.

58,121

2,817,706

EnergySouth, Inc.

12,418

493,119

Equitable Resources, Inc.

97,409

4,156,442

Ferrellgas Partners LP

27,145

623,792

Laclede Group, Inc.

12,640

394,368

National Fuel Gas Co.

61,609

2,572,792

New Jersey Resources Corp.

28,854

1,425,099

Northwest Natural Gas Co.

21,710

961,102

ONEOK, Inc.

81,754

3,405,872

Piedmont Natural Gas Co., Inc.

56,461

1,418,865

SEMCO Energy, Inc. (a)

5,396

41,549

South Jersey Industries, Inc.

27,137

938,940

Southern Union Co.

81,422

2,385,665

Southwest Gas Corp.

30,584

1,135,278

Star Gas Partners LP

57,420

219,344

Suburban Propane Partners LP

31,501

1,343,518

UGI Corp.

82,889

2,164,232

WGL Holdings, Inc.

41,986

1,323,399

33,577,376

Common Stocks - continued

Shares

Value

UTILITIES - continued

Independent Power Producers & Energy Traders - 0.5%

Black Hills Corp.

30,190

$ 1,088,350

Environmental Power Corp. (a)

10,176

80,289

Mirant Corp. (a)

210,735

7,851,986

NRG Energy, Inc. (d)

102,802

6,809,604

Ormat Technologies, Inc. (d)

6,685

259,712

16,089,941

Multi-Utilities - 1.1%

Alliant Energy Corp.

87,319

3,651,681

Aquila, Inc.

302,884

1,253,940

Avista Corp.

35,232

824,429

CH Energy Group, Inc.

16,216

767,990

Energy East Corp.

111,381

2,752,225

Florida Public Utilities Co.

5,845

74,816

MDU Resources Group, Inc.

143,991

3,805,682

NorthWestern Energy Corp.

30,585

1,102,895

NSTAR (d)

78,810

2,696,090

OGE Energy Corp.

69,014

2,664,631

PNM Resources, Inc.

50,048

1,529,467

Puget Energy, Inc.

87,951

2,169,751

SCANA Corp.

93,604

3,906,095

Vectren Corp.

61,737

1,729,253

Wisconsin Energy Corp.

91,774

4,400,563

33,329,508

Water Utilities - 0.2%

American States Water Co.

11,845

448,926

Aqua America, Inc. (d)

110,166

2,510,683

Artesian Resources Corp. Class A

3,763

72,438

Cadiz, Inc. (a)

14,433

384,928

California Water Service Group

15,853

606,853

Connecticut Water Service, Inc.

5,523

132,662

Middlesex Water Co.

9,279

168,135

Pure Cycle Corp. (a)

23,077

199,847

SJW Corp.

11,852

407,946

Southwest Water Co. (d)

18,750

237,750

York Water Co.

12,649

224,899

5,395,067

TOTAL UTILITIES

124,200,697

TOTAL COMMON STOCKS

(Cost $2,440,242,772)

2,950,689,872

U.S. Treasury Obligations - 0.1%

Principal Amount

U.S. Treasury Bills, yield at date of purchase 4.86% to 5.07% 3/22/07 (e)
(Cost $4,486,708)

$ 4,500,000

4,486,599

Money Market Funds - 11.3%

Shares

Value

Fidelity Cash Central Fund, 5.35% (b)

69,074,450

$ 69,074,450

Fidelity Securities Lending Cash Central Fund, 5.34% (b)(c)

274,977,676

274,977,676

TOTAL MONEY MARKET FUNDS

(Cost $344,052,126)

344,052,126

TOTAL INVESTMENT
PORTFOLIO - 108.7%

(Cost $2,788,781,606)

3,299,228,597

NET OTHER ASSETS - (8.7)%

(265,332,110)

NET ASSETS - 100%

$ 3,033,896,487

Futures Contracts

Expiration
Date

Underlying
Face Amount
at Value

Unrealized
Appreciation/
(Depreciation)

Purchased

Equity Index Contracts

578 Russell E-Mini Index Contracts

March 2007

$ 45,933,660

$ (543,397)

20 S&P 500 E-Mini Index Contracts

March 2007

1,408,900

(34,215)

23 S&P 500 Index Contracts

March 2007

8,101,175

(161,385)

283 S&P MidCap 400 E-Mini Index Contracts

March 2007

23,757,850

15,180

TOTAL EQUITY INDEX CONTRACTS

$ 79,201,585

$ (723,817)

The face value of futures purchased as a percentage of net assets - 2.6%

Swap Agreements

Expiration Date

Notional Amount

Value

Equity Total Return Swaps

Receive monthly a return equal to Plains All American Pipeline LP and pay monthly a floating rate based on 1-month LIBOR plus 25 basis points with JP Morgan Chase, Inc.

Sept. 2007

$ 2,955,859

$ 249,926

Legend

(a) Non-income producing

(b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request.

(c) Investment made with cash collateral received from securities on loan.

(d) Security or a portion of the security is on loan at period end.

(e) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $2,931,245.

Affiliated Central Funds

Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:

Fund

Income earned

Fidelity Cash Central Fund

$ 2,828,604

Fidelity Securities Lending Cash Central Fund

3,880,599

Total

$ 6,709,203

See accompanying notes which are an integral part of the financial statements.

Annual Report

Spartan Extended Market Index Fund

Financial Statements

Statement of Assets and Liabilities

February 28, 2007

Assets

Investment in securities, at value
(including securities loaned of $268,002,365) -
See accompanying schedule:

Unaffiliated issuers (cost $2,444,729,480)

$ 2,955,176,471

Fidelity Central Funds (cost $344,052,126)

344,052,126

Total Investments (cost $2,788,781,606)

$ 3,299,228,597

Cash

374,470

Receivable for investments sold

66,245

Receivable for fund shares sold

10,306,997

Dividends receivable

2,286,134

Distributions receivable from Fidelity Central Funds

330,590

Receivable for daily variation on
futures contracts

616,072

Swap agreements, at value

249,926

Other receivables

322,006

Total assets

3,313,781,037

Liabilities

Payable for investments purchased

$ 355,811

Payable for fund shares redeemed

4,321,093

Accrued management fee

177,580

Other affiliated payables

52,390

Collateral on securities loaned, at value

274,977,676

Total liabilities

279,884,550

Net Assets

$ 3,033,896,487

Net Assets consist of:

Paid in capital

$ 2,457,346,969

Undistributed net investment income

9,472,172

Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions

57,104,380

Net unrealized appreciation
(depreciation) on investments and assets and liabilities in foreign
currencies

509,972,966

Net Assets

$ 3,033,896,487

Investor Class:
Net Asset Value, offering price and redemption price per share ($2,082,398,658 ÷ 52,539,818 shares)

$ 39.63

Fidelity Advantage Class:
Net Asset Value, offering price and redemption price per share ($951,497,829 ÷ 24,005,450 shares)

$ 39.64

Statement of Operations

Year ended February 28, 2007

Investment Income

Dividends

$ 28,591,677

Interest

176,172

Income from Fidelity Central Funds (including $3,880,599 from security lending)

6,709,203

Total income

35,477,052

Expenses

Management fee

$ 1,715,810

Transfer agent fees

506,650

Independent trustees' compensation

9,141

Miscellaneous

6,064

Total expenses before reductions

2,237,665

Expense reductions

(136,302)

2,101,363

Net investment income (loss)

33,375,689

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

Unaffiliated issuers

117,603,572

Foreign currency transactions

(136)

Futures contracts

511,448

Swap agreements

313,951

Total net realized gain (loss)

118,428,835

Change in net unrealized appreciation (depreciation) on:

Investment securities

144,621,478

Assets and liabilities in foreign currencies

(134)

Futures contracts

(1,890,336)

Swap agreements

265,805

Total change in net unrealized
appreciation (depreciation)

142,996,813

Net gain (loss)

261,425,648

Net increase (decrease) in net assets resulting from operations

$ 294,801,337

See accompanying notes which are an integral part of the financial statements.

Annual Report

Statement of Changes in Net Assets

Year ended
February 28,
2007

Year ended
February 28,
2006

Increase (Decrease) in Net Assets

Operations

Net investment income (loss)

$ 33,375,689

$ 22,201,031

Net realized gain (loss)

118,428,835

40,975,742

Change in net unrealized appreciation (depreciation)

142,996,813

229,629,679

Net increase (decrease) in net assets resulting from operations

294,801,337

292,806,452

Distributions to shareholders from net investment income

(29,674,620)

(18,167,972)

Distributions to shareholders from net realized gain

(70,580,264)

(5,453,013)

Total distributions

(100,254,884)

(23,620,985)

Share transactions - net increase (decrease)

707,795,119

400,646,865

Redemption fees

207,137

208,326

Total increase (decrease) in net assets

902,548,709

670,040,658

Net Assets

Beginning of period

2,131,347,778

1,461,307,120

End of period (including undistributed net investment income of $9,472,172 and undistributed net investment income
of $6,716,236, respectively)

$ 3,033,896,487

$ 2,131,347,778

Financial Highlights - Investor Class

Years ended February 28,

2007

2006

2005

2004 F

2003

Selected Per-Share Data

Net asset value, beginning of period

$ 36.65

$ 31.47

$ 28.76

$ 18.29

$ 22.59

Income from Investment Operations

Net investment income (loss) B

.51

.43

.28 H

.20

.18

Net realized and unrealized gain (loss)

3.98

5.19

2.64

10.40

(4.29)

Total from investment operations

4.49

5.62

2.92

10.60

(4.11)

Distributions from net investment income

(.44)

(.34)

(.22)

(.14)

(.19)

Distributions from net realized gain

(1.07)

(.10)

-

-

-

Total distributions

(1.51)

(.44)

(.22)

(.14)

(.19)

Redemption fees added to paid in capital B

- G

- G

.01

.01

- G

Net asset value, end of period

$ 39.63

$ 36.65

$ 31.47

$ 28.76

$ 18.29

Total Return A

12.46%

17.94%

10.20%

58.07%

(18.25)%

Ratios to Average Net Assets C, E

Expenses before reductions

.10%

.10%

.43%

.44%

.45%

Expenses net of fee waivers, if any

.10%

.10%

.23%

.40%

.30%

Expenses net of all reductions

.09%

.10%

.23%

.40%

.30%

Net investment income (loss)

1.36%

1.30%

.96% H

.82%

.88%

Supplemental Data

Net assets, end of period (000 omitted)

$ 2,082,399

$ 1,499,848

$ 1,461,307

$ 985,748

$ 421,714

Portfolio turnover rate D

16%

13%

17%

18%

18%

A Total returns would have been lower had certain expenses not been reduced during the periods shown.

B Calculated based on average shares outstanding during the period.

C Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

D Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

F For the year ended February 29.

G Amount represents less than $.01 per share.

H As a result in the change in the estimate of the return of capital components of dividend income realized in the year ended February 29, 2004, net investment income per share and the ratio of net investment income to average net assets for the year ended February 28, 2005 have been reduced by $.01 per share and .03%, respectively. The change in estimate has no impact on total net assets or total return of the class.

See accompanying notes which are an integral part of the financial statements.

Annual Report

Financial Highlights - Fidelity Advantage Class

Years ended February 28,

2007

2006 G

Selected Per-Share Data

Net asset value, beginning of period

$ 36.66

$ 32.60

Income from Investment Operations

Net investment income (loss) D

.52

.17

Net realized and unrealized gain (loss)

3.98

4.28

Total from investment operations

4.50

4.45

Distributions from net investment income

(.45)

(.29)

Distributions from net realized gain

(1.07)

(.10)

Total distributions

(1.52)

(.39)

Redemption fees added to paid in capital D

- I

- I

Net asset value, end of period

$ 39.64

$ 36.66

Total Return B, C

12.49%

13.71%

Ratios to Average Net Assets E, H

Expenses before reductions

.07%

.07% A

Expenses net of fee waivers, if any

.07%

.07% A

Expenses net of all reductions

.07%

.07% A

Net investment income (loss)

1.39%

1.28% A

Supplemental Data

Net assets, end of period (000 omitted)

$ 951,498

$ 631,500

Portfolio turnover rate F

16%

13%

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower had certain expenses not been reduced during the periods shown.

D Calculated based on average shares outstanding during the period.

E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

G For the period October 14, 2005 (commencement of sale of shares) to February 28, 2006.

H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

I Amount represents less than $.01 per share.

See accompanying notes which are an integral part of the financial statements.

Annual Report

Spartan International Index Fund

Performance: The Bottom Line

Average annual total return reflects the change in the value of an investment, assuming reinvestment of the class' dividend income and capital gains (the profits earned upon the sale of securities that have grown in value) and assuming a constant rate of performance each year. The $10,000 table and the fund's returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.

Average Annual Total Returns

Periods ended February 28, 2007

Past 1
year

Past 5
years

Life of fund

Spartan International Index Fund - Investor Class

21.48%

16.16%

8.29% A

Spartan International Index Fund - Fidelity Advantage Class

21.49%

16.16% B

8.29% A, B

A From November 5, 1997.

B The initial offering of Fidelity Advantage Class took place on October 14, 2005. Returns prior to October 14, 2005, are those of Investor Class.

$10,000 Over Life of Fund*

Let's say hypothetically that $10,000 was invested in Spartan International Index Fund - Investor Class on November 30, 1997. The chart shows how the value of your investment would have changed, and also shows how the Morgan Stanley Capital InternationalSM Europe, Australasia and Far East (MSCI® EAFE®) Index performed over the same period.



* From November 30, 1997 (first date following the fund's commencement for which the life of fund return for the MSCI EAFE Index is available).

Annual Report

Spartan International Index Fund

Management's Discussion of Fund Performance

Comments from Jeffrey Adams, who oversees the Spartan® International Index Fund's investment management team as Head of Indexing for Geode Capital Management, LLC

International stock markets generally performed very well during the past year, though the gains were muted by a significant correction that took place in the reporting period's final week. The Morgan Stanley Capital InternationalSM Europe, Australasia, Far East (MSCI® EAFE®) Index's return of 21.25% significantly outpaced the broad U.S. stock market's 12.15% gain, as measured by the Dow Jones Wilshire 5000 Composite IndexSM. Much of the dominance of international stocks was generated in Europe, which generally benefited from a combination of solid corporate earnings, a significant amount of merger-and-acquisition activity and continued currency strength relative to the U.S. dollar. Japanese stocks failed to keep up with their European counterparts during the period, largely because the yen lost modest ground compared with the dollar. Despite a mixed environment for the Japanese economy, near the end of the period the Bank of Japan raised the country's short-term interest rates to an eight-year high of 0.50%. However, those rates remained relatively low compared with the benchmark rates in the United States and Europe, which ended the period at 5.25% and 3.50%, respectively.

For the 12 months ending February 28, 2007, the fund's Investor Class and Fidelity Advantage Class shares gained 21.48% and 21.49%, respectively, slightly outpacing the MSCI EAFE. (The fund's performance relative to the index can be affected by Fidelity's methodologies for valuing certain foreign stocks and for incorporating foreign exchange rates, which differ from those used by the index.) The telecommunication services and utilities sectors, each of which made up approximately 5% of the index on average, were the two strongest performing groups. While no sector turned in negative performance during the period, the most muted gains came from the energy sector, representing approximately 8% of the index. For U.S. investors, an additional significant positive came from favorable foreign currency movements versus the U.S. dollar - especially in Europe. The fund's best performing individual contributor was England's Vodafone, the world's largest mobile telephone service provider, which benefited in part from increased subscriber growth in emerging markets. Spain-based telecommunications company Telefonica saw stronger earnings, while Japanese auto giant Toyota rose on strong business prospects and an improved earnings outlook. Swiss food products company Nestle also contributed to returns. On the negative side, a handful of Japanese bank stocks, including Mitsubishi UFJ Financial Group, Mizuho Financial Group and Sumitomo Mitsui Financial Group, all underperformed, reporting relatively weak earnings. Shares of London-based energy stock BP also detracted.

The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.

Annual Report

Spartan International Index Fund

Investment Changes

Top Ten Stocks as of February 28, 2007

% of fund's
net assets

% of fund's net assets
6 months ago

HSBC Holdings PLC (United Kingdom) (Reg.) (United Kingdom, Commercial Banks)

1.6

1.8

BP PLC (United Kingdom, Oil, Gas & Consumable Fuels)

1.5

1.9

Toyota Motor Corp. (Japan, Automobiles)

1.5

1.3

GlaxoSmithKline PLC (United Kingdom, Pharmaceuticals)

1.2

1.4

Nestle SA (Reg.) (Switzerland, Food Products)

1.2

1.2

Total SA Series B (France, Oil, Gas & Consumable Fuels)

1.1

1.3

Vodafone Group PLC (United Kingdom, Wireless Telecommunication Services)

1.1

1.0

Novartis AG (Reg.) (Switzerland, Pharmaceuticals)

1.0

1.1

Roche Holding AG (participation certificate) (Switzerland, Pharmaceuticals)

1.0

1.1

Royal Bank of Scotland Group PLC (United Kingdom, Commercial Banks)

1.0

0.9

12.2

Market Sectors as of February 28, 2007

% of fund's
net assets

% of fund's net assets
6 months ago

Financials

30.4

29.8

Consumer Discretionary

11.4

10.8

Industrials

10.9

9.5

Materials

8.5

8.2

Consumer Staples

7.4

8.0

Health Care

7.1

7.7

Energy

6.7

7.9

Telecommunication Services

5.9

5.3

Utilities

6.0

6.1

Information Technology

5.1

5.3

Geographic Diversification (% of fund's net assets)

As of February 28, 2007

United Kingdom

23.2%

Japan

23.2%

France

9.4%

Germany

7.6%

Switzerland

6.8%

Australia

5.6%

Spain

4.0%

Netherlands

3.9%

Italy

3.8%

Other

12.5%

Percentages are adjusted for the effect of futures contracts, if applicable.

As of August 31, 2006

United Kingdom

24.1%

Japan

23.9%

France

9.4%

Germany

7.2%

Switzerland

6.9%

Australia

5.3%

Netherlands

3.8%

Spain

3.8%

Italy

3.8%

Other

11.8%

Percentages are adjusted for the effect of futures contracts, if applicable.

Annual Report

Spartan International Index Fund

Investments February 28, 2007

Showing Percentage of Net Assets

Common Stocks - 98.9%

Shares

Value

Australia - 5.6%

ABC Learning Centres Ltd.

147,857

$ 796,887

AGL Energy Ltd. (a)

136,320

1,721,836

Alinta Ltd.

199,119

2,235,765

Alumina Ltd.

440,599

2,339,926

Amcor Ltd.

334,284

1,920,179

AMP Ltd.

710,078

5,768,506

Ansell Ltd.

61,179

561,600

APN News & Media Ltd.

102,085

478,605

Aristocrat Leisure Ltd.

130,472

1,727,131

Asx Ltd.

54,649

1,802,089

Australia & New Zealand Banking Group Ltd.

676,716

15,623,298

AXA Asia Pacific Holdings Ltd.

323,208

1,897,304

Babcock & Brown Ltd.

81,813

1,650,293

BHP Billiton Ltd.

1,271,801

27,356,440

Billabong International Ltd.

62,761

848,111

BlueScope Steel Ltd.

296,691

2,181,146

Boral Ltd.

243,876

1,614,162

Brambles Ltd. (a)(d)

570,497

5,960,676

Caltex Australia Ltd.

40,177

706,911

Centro Properties Group unit

280,484

2,172,502

Centro Retail Group unit

25,327

35,822

CFS Retail Property Trust

362,954

686,375

Challenger Financial Services Group Ltd.

212,675

770,855

Coca-Cola Amatil Ltd.

168,443

1,097,633

Cochlear Ltd.

20,801

929,977

Coles Group Ltd.

416,895

5,045,643

Commonwealth Bank of Australia

473,102

18,624,125

Commonwealth Property Office Fund

521,937

567,539

Computershare Ltd.

193,461

1,528,949

CSL Ltd.

68,623

4,198,651

CSR Ltd.

320,104

915,580

DB RREEF Trust unit

956,110

1,314,625

Downer EDI Ltd.

144,686

836,799

Fosters Group Ltd.

748,977

3,729,789

Futuris Corp. Ltd.

146,967

243,186

Goodman Fielder Ltd.

407,461

725,593

Harvey Norman Holdings Ltd.

249,277

854,417

Iluka Resources Ltd.

125,596

583,884

ING Industrial Fund

307,596

576,841

Insurance Australia Group Ltd.

659,251

3,106,352

Investa Property Group unit

466,498

871,158

John Fairfax Holdings Ltd.

354,390

1,343,152

Leighton Holdings Ltd.

47,739

1,169,856

Lend Lease Corp. Ltd.

124,690

1,773,403

Lion Nathan Ltd.

124,152

810,974

Macquarie Airports unit

296,869

865,496

Macquarie Bank Ltd.

95,216

5,926,260

Macquarie Communications Infrastructure Group unit

94,647

442,988

Macquarie Goodman Group unit

492,992

2,781,324

Shares

Value

Macquarie Infrastructure Group unit

939,858

$ 2,843,755

Macquarie Office Trust

698,984

881,223

Mirvac Group unit

308,235

1,374,666

Multiplex Group unit

260,993

906,914

National Australia Bank Ltd.

587,451

18,649,219

Newcrest Mining Ltd.

114,360

2,031,980

OneSteel Ltd.

255,269

1,009,719

Orica Ltd.

117,088

2,283,422

Origin Energy Ltd.

303,547

2,119,134

Pacific Brands Ltd.

159,980

369,345

Paladin Resources Ltd. (a)(d)

157,094

1,126,418

PaperlinX Ltd.

106,420

338,769

Perpetual Trustees Australia Ltd.

13,083

769,033

Publishing & Broadcasting Ltd.

54,055

819,056

Qantas Airways Ltd.

317,043

1,286,542

QBE Insurance Group Ltd.

292,123

7,365,706

Rinker Group Ltd.

318,138

4,682,643

Rio Tinto Ltd.

105,970

6,312,529

Santos Ltd.

209,206

1,542,939

Sonic Healthcare Ltd.

111,239

1,232,370

Stockland Corp. Ltd. (a)

9,768

65,345

Stockland Corp. Ltd. unit

502,365

3,416,086

Suncorp-Metway Ltd.

196,020

3,362,463

Sydney Roads Group unit (d)

506,943

523,274

Symbion Health Ltd.

201,876

602,868

Tabcorp Holdings Ltd.

188,413

2,397,629

Tattersall's Ltd.

410,210

1,486,835

Telstra Corp. Ltd.

1,325,138

4,448,047

The GPT Group unit

673,352

2,679,367

Toll Holdings Ltd.

183,126

2,794,977

Transurban Group unit

317,248

1,887,315

Wesfarmers Ltd.

133,622

3,837,728

Westfield Group unit

563,468

9,656,665

Westpac Banking Corp.

670,190

13,444,820

Woodside Petroleum Ltd.

174,798

5,131,897

Woolworths Ltd.

431,545

9,248,976

WorleyParsons Ltd.

49,506

1,068,826

Zinifex Ltd.

171,596

2,260,696

TOTAL AUSTRALIA

267,979,809

Austria - 0.6%

Andritz AG

4,132

872,159

Boehler-Uddeholm AG

16,220

1,194,513

Erste Bank AG

68,016

5,054,904

Flughafen Wien AG

5,309

492,359

Immoeast AG (a)

110,534

1,638,282

IMMOFINANZ Immobilien Anlagen AG (a)

173,016

2,630,759

Mayr-Melnhof Karton AG

1,607

311,635

Oesterreichische Elektrizitaetswirtschafts AG (Verbund)

24,670

1,038,502

OMV AG

59,302

3,310,957

Raiffeisen International Bank Holding AG

13,630

1,834,389

RHI AG (a)

13,772

625,853

Common Stocks - continued

Shares

Value

Austria - continued

Telekom Austria AG

143,562

$ 3,590,674

voestalpine AG

30,407

1,883,190

Wiener Staedische Versicher AG

11,466

798,886

Wienerberger AG

27,513

1,693,034

TOTAL AUSTRIA

26,970,096

Belgium - 1.2%

Agfa-Gevaert NV

36,334

809,711

Barco NV

2,933

269,407

Bekaert SA

3,646

437,622

Belgacom SA

60,019

2,574,996

Cofinimmo SA

3,608

718,728

Colruyt NV

6,588

1,436,764

Compagnie Maritime Belge SA (CMB)

4,225

225,435

D'ieteren SA

798

298,329

Delhaize Group

25,832

2,151,289

Dexia SA

205,066

6,048,928

Euronav NV

5,145

155,509

Fortis

431,619

18,574,871

Fortis (strip VVPR)

1,764

70

Groupe Bruxelles Lambert SA (GBL)

27,394

3,066,181

Groupe Bruxelles Lambert SA (GBL)
(strip VVPR)

818

11

InBev SA

69,623

4,616,915

KBC Groupe SA (d)

67,288

8,188,631

Mobistar SA

10,546

891,792

Omega Pharma SA

9,000

696,386

Solvay SA

22,678

3,227,075

UCB SA

44,345

2,864,951

Umicore SA

9,993

1,710,820

TOTAL BELGIUM

58,964,421

Bermuda - 0.1%

Frontline Ltd.

19,500

681,929

Noble Group Ltd.

457,000

406,475

SeaDrill Ltd. (a)

84,800

1,310,635

TOTAL BERMUDA

2,399,039

Cayman Islands - 0.1%

Foxconn International Holdings Ltd. (a)

769,000

2,032,478

Hutchison Telecommunications International Ltd. (a)

482,000

1,005,574

Kingboard Chemical Holdings Ltd.

218,500

917,286

Shui On Land Ltd.

963,000

875,113

Solomon Systech International Ltd.

334,000

65,833

TOTAL CAYMAN ISLANDS

4,896,284

Denmark - 0.8%

A.P. Moller - Maersk AS Series B

400

4,127,373

Bang & Olufsen AS Series B (d)

5,525

667,235

Carlsberg AS Series B

10,988

1,135,741

Codan AS

6,425

534,019

Coloplast AS Series B (d)

9,860

824,775

Shares

Value

Dampskibsselskabet TORM AS

5,500

$ 361,412

Danisco AS (d)

15,375

1,228,755

Danske Bank AS

179,048

8,283,518

DSV de Sammensluttede Vognmaend AS

7,644

1,320,904

East Asiatic Co. Ltd.

4,341

191,196

FLS Industries

14,050

908,271

GN Store Nordic AS

68,065

985,188

H. Lundbeck AS

25,135

674,052

Jyske Bank AS (Reg.) (a)

24,050

1,853,713

NKT Holding AS

5,525

449,402

Novo Nordisk AS Series B

86,430

7,444,643

Novozymes AS Series B

19,093

1,647,965

Sydbank AS

24,300

1,273,110

Topdanmark AS (a)

6,865

1,224,086

Trygvesta AS

11,650

912,435

Vestas Wind Systems AS (a)

69,228

3,233,517

William Demant Holding AS (a)

12,767

1,046,401

TOTAL DENMARK

40,327,711

Finland - 1.5%

Amer Group PLC (A Shares)

20,270

445,820

Cargotec Corp. (B Shares) (d)

16,005

944,638

Elisa Corp. (A Shares)

50,915

1,503,885

Fortum Oyj

166,248

4,589,289

KCI Konecranes Oyj

14,646

457,216

Kesko Oyj

22,458

1,184,631

Kone Oyj (B Shares) (d)

24,349

1,393,935

Metso Corp.

45,165

2,241,939

Neste Oil Oyj

40,390

1,297,769

Nokia Corp.

1,495,228

32,640,827

Nokian Tyres Ltd.

46,974

1,147,530

OKO Bank (A Shares)

34,034

584,154

Orion Oyj (B Shares) (a)

30,410

669,645

Outokumpu Oyj (A Shares)

32,729

1,219,664

Rautaruukki Oyj (K Shares)

31,174

1,427,392

Sampo Oyj (A Shares)

153,962

4,299,032

Sanoma-WSOY Oyj

24,027

687,432

Stora Enso Oyj (R Shares)

223,993

3,677,965

TietoEnator Oyj (d)

27,012

759,610

UPM-Kymmene Corp.

186,266

4,831,740

Uponor Oyj

22,756

797,122

Waertsilae Corp. (B Shares)

23,330

1,395,494

YIT-Yhtyma OY

45,387

1,480,550

TOTAL FINLAND

69,677,279

France - 9.4%

Accor SA

74,448

6,574,290

Air France KLM (Reg.)

46,464

2,016,811

Alcatel-Lucent SA

833,999

10,700,207

Alstom SA (a)

21

43

Alstom SA (a)(d)

39,333

4,754,889

Atos Origin SA (a)

21,713

1,175,791

AXA SA

610,790

26,074,625

BIC SA

8,218

561,818

Common Stocks - continued

Shares

Value

France - continued

BNP Paribas SA

306,051

$ 31,971,694

Bouygues SA

72,278

5,040,707

Business Objects SA (a)

31,139

1,124,118

Cap Gemini SA

50,546

3,535,139

Carrefour SA

216,411

14,456,841

Casino Guichard Perrachon et Compagnie

14,030

1,208,686

CNP Assurances

16,806

1,884,636

Compagnie de St. Gobain

115,525

10,762,753

Credit Agricole SA

240,052

9,581,012

Dassault Systemes SA

21,352

1,093,514

Essilor International SA

34,304

3,914,968

France Telecom SA

619,059

16,776,499

Gaz de France (d)

73,185

3,226,053

Gecina SA

5,347

983,557

Groupe Danone

85,409

13,532,603

Hermes International SA

22,843

2,985,142

Imerys

10,278

917,006

Klepierre SA

6,533

1,288,171

L'Air Liquide SA

9,657

2,214,320

L'Air Liquide SA (a)

33,971

7,789,443

L'Oreal SA

106,130

11,113,582

Lafarge SA

43,250

6,470,404

Lafarge SA (Bearer)

11,540

1,726,438

Lagardere S.C.A. (Reg.)

44,015

3,383,583

Louis Vuitton Moet Hennessy (LVMH)

91,590

10,148,547

M6 Metropole Television SA

22,899

813,040

Michelin SA (Compagnie Generale des Etablissements) Series B

51,159

5,322,673

Neopost SA

10,269

1,324,431

PagesJaunes Groupe SA

53,258

1,106,520

Pernod Ricard SA

34,148

7,049,150

Peugeot Citroen SA

56,980

3,844,875

Pinault Printemps-Redoute SA

24,263

3,650,730

Publicis Groupe SA

54,344

2,436,519

Renault SA

69,647

8,284,924

Safran SA (d)

55,156

1,265,659

Sanofi-Aventis

374,605

31,773,996

Schneider Electric SA

82,912

10,072,442

SCOR

340,344

869,261

Societe Des Autoroutes Paris-Rhin-Rhone

7,387

620,750

Societe Generale Series A

134,187

22,612,574

Sodexho Alliance SA

33,614

2,319,793

Suez SA:

(France)

372,683

18,060,620

(strip VVRP) (a)

15,232

202

Technip SA

35,530

2,389,016

Television Francaise 1 SA

46,712

1,574,462

Thales SA

36,485

1,880,118

Thomson SA

98,512

1,853,802

Total SA:

(strip VVPR)

3,096

41

Shares

Value

Series B

796,255

$ 53,603,887

Unibail (Reg.)

17,018

4,921,689

Valeo SA

28,023

1,379,904

Vallourec SA

14,726

3,650,622

Veolia Environnement

103,271

7,286,907

Vinci SA

77,561

10,743,365

Vivendi Universal SA

422,651

16,695,559

Zodiac SA (d)

16,698

1,135,801

TOTAL FRANCE

447,531,222

Germany - 7.2%

Adidas-Salomon AG (d)

71,259

3,500,438

Allianz AG (Reg.)

157,862

33,987,689

Altana AG

26,722

1,617,837

BASF AG

178,730

18,178,628

Bayer AG

268,712

15,448,253

Beiersdorf AG

21,339

1,383,709

Bilfinger Berger AG

14,945

1,240,640

Celesio AG

32,354

1,836,364

Commerzbank AG

228,512

9,434,922

Continental AG

47,423

5,918,634

DaimlerChrysler AG (Reg.)

333,948

22,731,840

Deutsche Bank AG

190,473

25,011,010

Deutsche Boerse AG

36,721

7,355,299

Deutsche Lufthansa AG (Reg.)

80,112

2,169,092

Deutsche Post AG

284,085

9,067,767

Deutsche Postbank AG

30,494

2,564,512

Deutsche Telekom AG (Reg.)

1,036,344

18,612,738

Douglas Holding AG

11,423

662,108

E.ON AG

226,392

29,618,865

Fresenius Medical Care AG

21,368

3,025,676

HeidelbergCement AG (strip VVPR) (a)

239

0

Heidelberger Druckmaschinen AG

18,620

798,361

Hochtief AG

18,047

1,571,946

Hypo Real Estate Holding AG

52,779

3,344,183

Infineon Technologies AG (a)

272,157

4,169,445

IVG Immobilien AG (d)

33,718

1,504,611

KarstadtQuelle AG (a)(d)

19,936

692,799

Linde AG

38,763

3,950,383

MAN AG

46,954

5,047,354

Merck KGaA

23,420

2,914,878

Metro AG

61,753

4,272,365

MLP AG (d)

18,470

444,361

Muenchener Rueckversicherungs-Gesellschaft
AG (Reg.)

75,249

11,992,511

Premiere AG (a)(d)

33,771

712,819

Puma AG

4,302

1,528,584

Rheinmetall AG

12,948

1,042,649

RWE AG

161,858

16,514,418

Salzgitter AG

15,446

1,908,526

SAP AG

323,427

14,867,939

Siemens AG (Reg.)

304,391

32,155,865

SolarWorld AG (d)

13,050

942,581

Common Stocks - continued

Shares

Value

Germany - continued

Suedzucker AG (Bearer)

31,421

$ 664,048

Thyssenkrupp AG (d)

128,278

6,289,485

TUI AG (d)

85,771

2,001,094

Volkswagen AG (d)

62,313

7,861,918

Wincor Nixdorf AG

6,095

995,241

TOTAL GERMANY

341,554,385

Greece - 0.6%

Alpha Bank AE

139,580

4,303,817

Bank of Piraeus

78,091

2,686,885

Coca-Cola Hellenic Bottling Co. SA (Bearer)

34,168

1,322,122

Cosmote Mobile Telecommunications SA

30,274

881,388

EFG Eurobank Ergasias SA

85,448

3,170,696

Folli Follie SA

6,944

258,221

Greek Organization of Football Prognostics SA

80,159

2,832,294

Hellenic Exchanges Holding SA

27,077

595,534

Hellenic Petroleum SA

49,850

678,161

Hellenic Technodomiki Tev SA

30,017

417,091

Hellenic Telecommunication Organization SA (OTE) (a)

108,995

2,956,890

Intracom Holdings SA (Reg.) (a)

33,729

200,859

Motor Oil (HELLAS) Corinth Refineries SA

19,277

500,000

National Bank of Greece SA

140,274

7,258,195

Public Power Corp. of Greece

32,414

838,170

Technical Olympic SA (Reg.)

46,816

141,255

Titan Cement Co. SA (Reg.)

17,744

1,014,871

Viohalco SA

40,274

540,428

TOTAL GREECE

30,596,877

Hong Kong - 1.6%

ASM Pacific Technology Ltd.

56,829

331,676

Bank of East Asia Ltd.

566,492

3,241,012

BOC Hong Kong Holdings Ltd.

1,343,566

3,250,126

Cathay Pacific Airways Ltd.

364,327

908,364

Cheung Kong Holdings Ltd.

549,449

6,733,573

Cheung Kong Infrastructure Holdings Ltd.

135,450

475,017

CLP Holdings Ltd.

692,657

5,075,433

Esprit Holdings Ltd.

365,023

3,802,980

Giordano International Ltd.

892,194

414,520

Hang Lung Properties Ltd.

786,423

2,078,527

Hang Seng Bank Ltd.

273,301

3,721,879

Henderson Land Development Co. Ltd.

287,963

1,632,750

Hong Kong & China Gas Co. Ltd.

1,400,427

3,057,869

Hong Kong Electric Holdings Ltd.

476,676

2,412,955

Hong Kong Exchanges & Clearing Ltd.

388,698

4,002,375

Hopewell Holdings Ltd.

235,000

903,840

Hutchison Whampoa Ltd.

789,158

7,509,730

Hysan Development Co. Ltd.

273,932

753,808

Johnson Electric Holdings Ltd.

798,062

582,225

Kerry Properties Ltd. (d)

205,000

1,018,040

Shares

Value

Li & Fung Ltd.

761,623

$ 2,417,526

Link (REIT)

830,000

1,939,806

Melco International Development Ltd.

358,000

691,894

MTR Corp. Ltd.

453,113

1,197,584

New World Development Co. Ltd.

907,988

2,001,210

Orient Overseas International Ltd.

66,400

542,211

PCCW Ltd.

1,548,751

913,823

Shangri-La Asia Ltd.

526,842

1,365,478

Shun Tak Holdings Ltd.

310,000

459,462

Sino Land Co.

485,336

1,115,651

Sun Hung Kai Properties Ltd.

493,141

5,835,223

Swire Pacific Ltd. (A Shares)

333,884

3,777,698

Techtronic Industries Co. Ltd.

296,000

405,373

Television Broadcasts Ltd.

101,000

657,343

Texwinca Holdings Ltd.

282,000

200,319

Wharf Holdings Ltd.

484,965

1,719,371

Wing Hang Bank Ltd.

59,500

673,207

Yue Yuen Industrial Holdings Ltd.

233,500

806,919

TOTAL HONG KONG

78,626,797

Ireland - 0.9%

Allied Irish Banks PLC

329,400

9,809,532

Bank of Ireland

349,047

7,967,971

C&C Group PLC

121,892

1,693,711

CRH PLC

193,620

8,083,963

DCC PLC (Ireland)

28,899

975,209

DEPFA BANK PLC

125,159

2,101,834

Elan Corp. PLC (a)

148,702

1,914,716

Grafton Group PLC unit

73,655

1,161,858

Greencore Group PLC

57,656

350,976

IAWS Group PLC

38,015

883,897

Independent News & Media PLC (Ireland)

148,719

649,464

Irish Life & Permanent PLC

98,417

2,789,744

Kerry Group PLC Class A

46,305

1,225,554

Kingspan Group PLC (Ireland)

41,840

1,140,601

Paddy Power PLC (Ireland)

25,324

574,740

Ryanair Holdings PLC

146,764

1,118,708

Total Produce PLC (a)

57,255

59,099

TOTAL IRELAND

42,501,577

Italy - 3.6%

Alleanza Assicurazioni Spa

167,247

2,152,177

Arnoldo Mondadori Editore Spa

32,064

331,817

Assicurazioni Generali Spa

346,302

14,903,225

Autogrill Spa

40,820

737,956

Autostrade Spa

101,225

3,052,860

Banca Monte dei Paschi di Siena Spa (d)

402,326

2,595,538

Banca Popolare di Milano

141,950

2,209,298

Banche Popolari Unite SCpA

115,656

3,290,647

Banco Popolare di Verona e Novara (d)

145,021

4,392,901

Benetton Group Spa

19,099

315,023

Bulgari Spa

45,450

656,677

Capitalia Spa

598,796

5,165,764

Enel S.p.A.

1,577,412

16,505,611

Common Stocks - continued

Shares

Value

Italy - continued

ENI Spa

947,031

$ 28,993,354

Fiat Spa (a)(d)

198,277

4,719,082

Finmeccanica Spa

115,024

3,402,050

Fondiaria-Sai Spa

28,718

1,316,457

Gruppo Editoriale L'espresso Spa (d)

52,915

278,140

Intesa Sanpaolo Spa

2,579,038

18,812,290

Italcementi Spa

30,676

923,538

Lottomatica Spa

23,565

933,983

Luxottica Group Spa

48,567

1,525,975

Mediaset Spa

269,468

3,130,952

Mediobanca Spa

176,005

3,949,327

Mediolanum Spa

100,728

838,980

Pirelli & C Spa (d)

1,067,908

1,198,690

Seat Pagine Gialle Spa

1,785,156

1,098,510

Snam Rete Gas Spa

320,414

1,917,842

Telecom Italia Spa

3,939,028

11,943,133

Terna Spa

481,913

1,676,617

Tiscali Spa (a)(d)

48,495

163,007

Unicredito Italiano Spa

2,849,898

26,418,745

TOTAL ITALY

169,550,166

Japan - 23.1%

77 Bank Ltd.

111,223

783,381

Access Co. Ltd. (a)(d)

86

418,738

ACOM Co. Ltd.

30,140

1,110,770

Aderans Co. Ltd.

10,700

273,968

Advantest Corp.

55,190

2,569,866

Aeon Co. Ltd.

236,200

4,903,624

Aeon Credit Service Co. Ltd.

41,400

781,986

Aiful Corp.

22,455

606,995

Aisin Seiki Co. Ltd.

65,500

2,248,956

Ajinomoto Co., Inc.

227,866

2,801,974

Alfresa Holdings Corp.

10,400

686,234

All Nippon Airways Co. Ltd.

192,000

747,175

Alps Electric Co. Ltd.

76,477

910,838

Amada Co. Ltd.

153,000

1,724,979

Amano Corp.

20,500

251,432

Aoyama Trading Co. Ltd.

20,300

639,063

ARRK Corp.

12,600

173,261

Asahi Breweries Ltd.

152,303

2,483,422

Asahi Glass Co. Ltd.

332,677

4,423,536

Asahi Kasei Corp.

435,727

3,178,883

Asatsu-DK, Inc.

9,800

303,577

Asics Corp.

48,000

557,691

Astellas Pharma, Inc.

190,200

8,296,944

Autobacs Seven Co. Ltd.

15,000

593,101

Bank of Fukuoka Ltd.

246,300

2,065,600

Bank of Kyoto Ltd.

104,000

1,158,566

Bank of Yokohama Ltd.

456,084

3,710,740

Benesse Corp.

25,400

972,333

Bridgestone Corp.

221,779

4,641,518

Canon Marketing Japan, Inc.

30,900

667,962

Shares

Value

Canon, Inc.

391,144

$ 21,149,155

Casio Computer Co. Ltd.

88,900

1,957,687

Central Glass Co. Ltd.

40,000

265,279

Central Japan Railway Co.

587

6,997,498

Chiba Bank Ltd.

255,674

2,428,317

Chiyoda Corp.

54,000

1,193,685

Chubu Electric Power Co., Inc.

246,064

8,252,039

Chugai Pharmaceutical Co. Ltd.

94,925

2,341,688

Circle K Sunkus Co. Ltd.

11,900

219,279

Citizen Watch Co. Ltd.

155,966

1,461,656

Coca-Cola West Japan Co. Ltd.

12,500

278,606

COMSYS Holdings Corp.

62,000

719,136

Credit Saison Co. Ltd.

62,252

2,040,602

Csk Holdings Corp.

21,500

937,878

Dai Nippon Printing Co. Ltd.

228,242

3,433,910

Daicel Chemical Industries Ltd.

75,000

537,065

Daido Steel Co. Ltd.

130,000

925,455

Daifuku Co. Ltd.

40,000

591,002

Daiichi Sankyo Co. Ltd.

262,470

8,405,140

Daikin Industries Ltd.

85,594

3,043,154

Dainippon Ink & Chemicals, Inc.

239,995

971,104

Dainippon Screen Manufacturing Co. Ltd.

75,000

610,730

Daito Trust Construction Co.

26,563

1,279,986

Daiwa House Industry Co. Ltd.

201,184

3,576,384

Daiwa Securities Group, Inc.

504,985

6,370,881

Denki Kagaku Kogyo KK

172,358

775,043

Denso Corp.

179,638

6,960,484

Dentsu, Inc.

689

1,911,056

Dowa Holdings Co. Ltd.

107,168

1,101,620

E*TRADE Securities Co. Ltd.

680

919,075

eAccess Ltd. (d)

368

266,300

East Japan Railway Co.

1,245

9,501,573

Ebara Corp. (d)

95,934

447,513

EDION Corp.

33,300

476,075

Eisai Co. Ltd.

93,578

4,742,763

Electric Power Development Co. Ltd.

59,180

2,965,962

Elpida Memory, Inc. (a)(d)

40,700

1,810,867

FamilyMart Co. Ltd.

30,400

829,418

Fanuc Ltd.

65,572

5,831,018

Fast Retailing Co. Ltd.

21,800

1,773,667

Fuji Electric Holdings Co. Ltd.

191,153

933,464

Fuji Soft ABC, Inc.

8,900

258,513

Fuji Television Network, Inc.

186

420,031

Fujifilm Holdings Corp.

179,305

7,670,974

Fujikura Ltd.

152,000

1,064,214

Fujitsu Ltd.

676,075

4,670,969

Furukawa Electric Co. Ltd.

206,790

1,364,393

Glory Ltd.

17,300

341,295

Gunma Bank Ltd.

135,663

929,326

Gunze Ltd.

62,000

351,848

Hakuhodo DY Holdings, Inc.

10,980

737,409

Hankyu Department Stores, Inc.

42,000

386,787

Hankyu Hanshin Holdings, Inc.

439,200

2,923,828

Common Stocks - continued

Shares

Value

Japan - continued

Haseko Corp. (a)(d)

394,000

$ 1,504,957

Hikari Tsushin, Inc.

5,200

233,983

Hino Motors Ltd.

129,000

712,353

Hirose Electric Co. Ltd.

10,398

1,304,990

Hitachi Cable Ltd.

44,000

262,996

Hitachi Capital Corp.

11,400

226,814

Hitachi Chemical Co. Ltd.

33,200

767,849

Hitachi Construction Machinery Co. Ltd.

36,900

1,050,128

Hitachi High-Technologies Corp.

22,000

611,318

Hitachi Ltd.

1,214,271

8,439,183

Hokkaido Electric Power Co., Inc.

67,100

1,825,088

Hokuhoku Financial Group, Inc.

482,715

1,807,349

Honda Motor Co. Ltd.

567,660

21,077,215

House Foods Corp.

33,800

584,521

Hoya Corp.

146,616

5,046,399

Ibiden Co. Ltd.

47,500

2,364,638

Index Holdings (d)

218

130,669

Inpex Holdings, Inc.

304

2,534,694

Isetan Co. Ltd.

64,600

1,172,807

Ishikawajima-Harima Heavy Industries Co. Ltd.

533,185

2,124,206

Ito En Ltd.

15,600

502,889

Itochu Corp.

552,986

5,303,225

ITOCHU Techno-Solutions Corp.

7,500

360,772

JAFCO Co. Ltd.

13,500

825,052

Japan Airlines Corp. (a)

425,420

936,827

Japan Prime Realty Investment Corp.

199

813,576

Japan Real Estate Investment Corp.

157

1,911,103

Japan Retail Fund Investment Corp.

111

1,025,019

Japan Steel Works Ltd.

115,000

1,099,969

Japan Tobacco, Inc.

1,625

7,389,090

JFE Holdings, Inc.

201,375

12,338,813

JGC Corp.

75,117

1,135,189

Joyo Bank Ltd.

271,941

1,773,830

Js Group Corp.

95,159

2,124,946

JSR Corp.

62,316

1,433,397

JTEKT Corp.

62,200

1,092,640

Kajima Corp.

356,317

1,880,774

Kaken Pharmaceutical Co. Ltd.

25,000

206,515

Kamigumi Co. Ltd.

89,663

794,865

Kaneka Corp.

103,559

960,653

Kansai Electric Power Co., Inc.

285,236

8,438,929

Kansai Paint Co. Ltd. Osaka

83,000

718,378

Kao Corp.

180,750

5,256,476

Katokichi Co. Ltd.

33,400

248,706

Kawasaki Heavy Industries Ltd.

507,945

2,062,073

Kawasaki Kisen Kaisha Ltd. (d)

188,000

1,861,416

KDDI Corp.

871

6,786,380

Keihin Electric Express Railway Co. Ltd. (d)

181,061

1,475,912

Keio Corp.

197,410

1,383,807

Keisei Electric Railway Co.

103,000

703,830

Keyence Corp.

14,600

3,415,908

Shares

Value

Kikkoman Corp.

54,849

$ 774,033

Kinden Corp.

36,000

279,248

Kintetsu Corp.

581,100

1,902,531

Kirin Brewery Co. Ltd.

285,256

4,389,989

KK daVinci Advisors (a)

480

564,138

Kobe Steel Ltd.

1,063,000

4,252,855

Kokuyo Co. Ltd.

18,900

252,434

Komatsu Ltd.

321,145

7,112,497

Komori Corp.

16,000

343,856

Konami Corp.

31,600

836,639

Konica Minolta Holdings, Inc.

160,500

2,047,798

Kose Corp.

8,730

227,192

Kubota Corp.

426,864

4,222,856

Kuraray Co. Ltd.

115,486

1,256,041

Kuraya Sanseido, Inc.

52,600

975,875

Kurita Water Industries Ltd.

37,200

847,870

Kyocera Corp.

61,302

5,508,598

Kyowa Hakko Kogyo Co. Ltd.

125,000

1,135,732

Kyushu Electric Power Co., Inc.

143,470

4,082,979

Lawson, Inc.

20,016

762,868

Leopalace21 Corp.

50,900

1,602,379

Mabuchi Motor Co. Ltd.

7,321

452,954

Makita Corp.

41,400

1,511,840

Marubeni Corp.

601,244

3,754,740

Marui Co. Ltd.

125,949

1,575,208

Matsui Securities Co. Ltd.

27,300

276,622

Matsumotokiyoshi Co. Ltd.

10,500

244,166

Matsushita Electric Industrial Co. Ltd.

713,073

14,297,113

Matsushita Electric Works Co. Ltd.

110,000

1,246,301

Meiji Dairies Corp.

76,000

653,476

Meiji Seika Kaisha Ltd.

114,888

575,521

Meitec Corp.

12,300

383,085

Millea Holdings, Inc.

260,000

9,669,264

Minebea Co. Ltd.

129,008

847,937

Mitsubishi Chemical Holdings Corp.

455,275

3,669,718

Mitsubishi Corp.

494,502

11,471,427

Mitsubishi Electric Corp.

696,106

6,933,205

Mitsubishi Estate Co. Ltd.

423,723

13,141,614

Mitsubishi Gas Chemical Co., Inc.

138,867

1,499,189

Mitsubishi Heavy Industries Ltd.

1,167,256

6,563,455

Mitsubishi Logistics Corp.

55,000

949,981

Mitsubishi Materials Corp.

327,937

1,496,686

Mitsubishi Rayon Co. Ltd.

211,312

1,387,125

Mitsubishi UFJ Financial Group, Inc.

3,146

38,444,119

Mitsubishi UFJ Securities Co. Ltd.

91,000

1,080,971

Mitsui & Co. Ltd.

563,123

10,081,454

Mitsui Chemicals, Inc.

256,683

2,219,999

Mitsui Engineering & Shipbuilding Co.

210,000

836,639

Mitsui Fudosan Co. Ltd.

304,677

8,373,899

Mitsui Mining & Smelting Co. Ltd.

240,154

1,350,381

Mitsui O.S.K. Lines Ltd.

398,285

4,479,096

Mitsui Sumitomo Insurance Co. Ltd.

430,475

5,347,646

Mitsui Trust Holdings, Inc.

269,300

2,990,057

Mitsukoshi Ltd.

137,376

633,904

Common Stocks - continued

Shares

Value

Japan - continued

Mitsumi Electric Co. Ltd.

30,600

$ 905,325

Mizuho Financial Group, Inc.

3,503

24,437,599

Murata Manufacturing Co. Ltd.

75,754

5,456,437

Namco Bandai Holdings, Inc.

78,150

1,146,798

NEC Corp.

763,951

4,027,555

Nec Electronics Corp. (a)(d)

10,100

271,324

Net One Systems Co. Ltd.

153

188,810

NGK Insulators Ltd.

107,309

2,020,340

NGK Spark Plug Co. Ltd.

56,000

1,055,409

NHK Spring Co. Ltd.

37,000

376,462

Nichirei Corp.

125,860

763,775

Nidec Corp.

37,142

2,416,481

Nikko Cordial Corp.

296,063

2,812,242

Nikon Corp.

105,838

2,419,640

Nintendo Co. Ltd.

36,196

9,571,664

Nippon Building Fund, Inc.

173

2,497,991

Nippon Electric Glass Co. Ltd.

80,000

1,944,262

Nippon Express Co. Ltd.

259,546

1,649,212

Nippon Kayaku Co. Ltd.

43,000

368,284

Nippon Light Metal Co. Ltd.

124,000

378,328

Nippon Meat Packers, Inc.

68,740

855,667

Nippon Mining Holdings, Inc.

325,500

2,711,221

Nippon Oil Corp.

429,129

3,119,926

Nippon Paper Group, Inc.

364

1,395,104

Nippon Sheet Glass Co. Ltd.

233,000

1,190,693

Nippon Shokubai Co. Ltd.

34,000

370,484

Nippon Steel Corp.

2,210,661

14,957,477

Nippon Telegraph & Telephone Corp.

1,879

9,924,878

Nippon Yusen KK

402,578

3,163,749

Nishi-Nippon City Bank Ltd.

214,000

1,022,215

Nishimatsu Construction Co. Ltd. (d)

71,000

241,992

Nissan Chemical Industries Co. Ltd.

40,000

510,018

Nissan Motor Co. Ltd.

846,848

9,734,517

Nisshin Seifun Group, Inc.

70,090

729,318

Nisshin Steel Co. Ltd.

353,000

1,538,007

Nisshinbo Industries, Inc.

75,000

983,391

Nissin Food Products Co. Ltd.

27,123

963,151

Nitori Co. Ltd.

9,000

420,082

Nitto Denko Corp.

57,294

2,909,919

NOK Corp.

39,000

662,988

Nomura Holdings, Inc.

650,147

14,017,169

Nomura Real Estate Office Fund, Inc.

95

1,116,524

Nomura Research Institute Ltd.

8,500

1,283,709

NSK Ltd.

143,576

1,245,380

NTN Corp.

143,611

1,168,432

NTT Data Corp.

457

2,304,665

NTT DoCoMo, Inc.

6,828

12,365,508

NTT Urban Development Co.

487

1,095,671

Obayashi Corp.

245,704

1,645,928

Obic Co. Ltd.

2,140

431,343

Odakyu Electric Railway Co. Ltd.

200,000

1,491,056

Oji Paper Co. Ltd.

311,352

1,735,024

Shares

Value

Oki Electric Industry Co. Ltd. (d)

277,000

$ 486,594

Okuma Corp.

52,000

596,153

Okumura Holdings, Inc.

49,000

269,023

Olympus Corp.

91,429

3,050,807

Omron Corp.

84,360

2,351,208

Onward Kashiyama Co. Ltd.

50,000

693,840

Oracle Corp. Japan (d)

8,500

390,322

Oriental Land Co. Ltd.

22,156

1,303,844

ORIX Corp.

32,978

9,025,229

Osaka Gas Co. Ltd.

751,525

2,937,221

OSG Corp. (d)

39,100

625,956

Otsuka Corp.

5,700

553,158

Park24 Co. Ltd. (d)

20,500

285,851

Pioneer Corp.

61,638

840,828

Promise Co. Ltd.

32,225

1,092,926

QP Corp.

20,900

189,139

Rakuten, Inc.

2,614

1,351,769

Resona Holdings, Inc.

1,603

4,527,027

Ricoh Co. Ltd.

245,770

5,412,158

Rinnai Corp.

10,100

266,236

Rohm Co. Ltd.

40,144

3,663,250

Round One Corp.

149

361,493

Ryohin Keikaku Co. Ltd.

9,700

659,589

Sanken Electric Co. Ltd.

24,000

231,095

Sankyo Co. Ltd. (Gunma)

18,500

824,675

Santen Pharmaceutical Co. Ltd.

26,600

721,274

Sanwa Shutter Corp.

100,000

616,187

Sanyo Electric Co. Ltd. (a)(d)

683,382

1,022,407

Sapporo Breweries Ltd. (d)

108,578

804,916

Sapporo Hokuyo Holdings, Inc.

104

1,073,878

SBI Holdings, Inc.

3,257

1,383,517

Secom Co. Ltd.

74,467

3,736,616

Sega Sammy Holdings, Inc.

69,700

1,734,897

Seiko Epson Corp.

41,700

1,197,232

Seino Holdings Co. Ltd.

71,000

709,286

Sekisui Chemical Co. Ltd.

181,293

1,486,935

Sekisui House Ltd.

196,467

2,922,828

Seven & I Holdings Co. Ltd.

308,000

9,837,271

SFCG Co. Ltd.

1,620

262,475

Sharp Corp.

377,675

6,967,758

Shimachu Co. Ltd.

11,600

345,703

Shimamura Co. Ltd.

8,600

968,874

SHIMANO, Inc.

28,800

865,549

SHIMIZU Corp.

211,416

1,265,197

Shin-Etsu Chemical Co. Ltd.

138,662

8,647,721

Shinko Electric Industries Co.Ltd.

23,900

541,724

Shinko Securities Co. Ltd.

188,000

993,914

Shinsei Bank Ltd.

560,000

2,984,129

Shionogi & Co. Ltd.

106,091

2,041,993

Shiseido Co. Ltd.

122,950

2,593,836

Shizuoka Bank Ltd.

231,274

2,458,995

Showa Denko KK

334,336

1,258,930

Showa Shell Sekiyu KK

68,000

782,443

SMC Corp.

19,171

2,542,835

Common Stocks - continued

Shares

Value

Japan - continued

Softbank Corp. (d)

276,630

$ 6,963,642

Sojitz Corp. (a)

315,400

1,399,703

Sompo Japan Insurance, Inc.

324,712

4,334,002

Sony Corp.

370,585

19,188,891

Stanley Electric Co. Ltd.

48,725

963,295

Sumco Corp.

36,000

1,326,732

Sumitomo Bakelite Co. Ltd.

45,000

321,861

Sumitomo Chemical Co. Ltd.

568,334

4,299,188

Sumitomo Corp.

396,842

7,104,566

Sumitomo Electric Industries Ltd.

250,706

3,721,309

Sumitomo Heavy Industries Ltd.

203,822

2,079,745

Sumitomo Metal Industries Ltd.

1,522,966

7,654,762

Sumitomo Metal Mining Co. Ltd.

193,065

3,432,055

Sumitomo Mitsui Financial Group, Inc.

2,284

22,076,705

Sumitomo Osaka Cement Co. Ltd.

101,144

328,997

Sumitomo Realty & Development Co. Ltd.

136,000

5,395,370

Sumitomo Rubber Industries Ltd.

75,000

887,762

Sumitomo Titanium Corp.

5,000

610,730

Sumitomo Trust & Banking Co. Ltd.

460,344

5,192,486

Suzuken Co. Ltd.

26,460

941,829

T&D Holdings, Inc.

87,800

6,324,346

Taiheiyo Cement Corp.

343,684

1,502,114

Taisei Corp.

334,594

1,265,526

Taisho Pharmaceutical Co. Ltd.

54,524

1,006,994

Taiyo Nippon Sanso Corp.

98,000

870,418

Taiyo Yuden Co. Ltd.

45,000

964,480

Takara Holdings, Inc.

71,551

490,133

Takashimaya Co. Ltd.

108,000

1,408,821

Takeda Pharamaceutical Co. Ltd.

323,442

22,128,966

Takefuji Corp.

35,311

1,369,520

Tanabe Seiyaku Co. Ltd.

65,000

871,980

TDK Corp.

47,325

3,925,980

Teijin Ltd.

320,341

1,733,959

Terumo Corp.

56,812

2,163,110

The Daimaru, Inc.

67,000

922,996

The Goodwill Group, Inc. (d)

390

297,608

The Suruga Bank Ltd.

76,000

1,041,876

THK Co. Ltd.

41,500

1,038,199

TIS, Inc.

13,600

279,148

Tobu Railway Co. Ltd.

292,297

1,506,001

Toda Corp.

56,762

264,941

Toho Co. Ltd.

55,554

1,101,965

Toho Titanium Co. Ltd.

8,800

475,018

Tohoku Electric Power Co., Inc.

155,590

4,127,481

Tokai Rika Co. Ltd.

28,200

687,720

Tokuyama Corp.

88,000

1,518,137

Tokyo Broadcasting System, Inc.

17,300

569,310

Tokyo Electric Power Co.

445,518

15,465,203

Tokyo Electron Ltd.

58,518

4,229,882

Tokyo Gas Co. Ltd.

807,395

4,512,820

Tokyo Seimitsu Co. Ltd. (d)

10,300

385,646

Tokyo Steel Manufacturing Co. Ltd.

27,000

448,112

Shares

Value

Tokyo Style Co. Ltd.

23,000

$ 256,414

Tokyo Tatemono Co. Ltd.

101,000

1,395,621

Tokyu Corp.

415,954

3,338,789

Tokyu Land Corp.

149,000

1,764,565

TonenGeneral Sekiyu KK (d)

119,856

1,308,035

Toppan Printing Co. Ltd.

211,013

2,122,969

Toray Industries, Inc.

487,883

3,506,082

Toshiba Corp.

1,043,880

6,562,850

Tosoh Corp.

176,816

905,064

Toto Ltd.

101,185

1,064,782

Toyo Seikan Kaisha Ltd.

71,800

1,394,045

Toyo Suisan Kaisha Ltd.

45,000

821,652

Toyobo Co. Ltd.

260,000

828,234

Toyoda Gosei Co. Ltd.

16,900

380,223

Toyota Industries Corp.

75,286

3,716,275

Toyota Motor Corp.

1,042,651

69,596,952

Toyota Tsusho Corp.

69,800

1,930,153

Trend Micro, Inc.

32,500

915,100

Ube Industries Ltd.

274,605

881,682

Uni-Charm Corp.

14,760

874,797

Uniden Corp.

17,000

135,721

UNY Co. Ltd.

71,000

984,060

Ushio, Inc.

44,100

845,943

USS Co. Ltd.

9,940

621,669

Wacoal Holdings Corp.

44,000

579,551

West Japan Railway Co.

608

2,861,751

Yahoo! Japan Corp.

5,405

2,042,047

Yakult Honsha Co. Ltd.

37,366

1,122,990

Yamada Denki Co. Ltd.

30,965

2,747,656

Yamaha Corp.

59,943

1,362,844

Yamaha Motor Co. Ltd.

70,600

2,086,237

Yamato Holdings Co. Ltd.

136,232

2,169,845

Yamazaki Baking Co. Ltd. (d)

29,000

266,581

Yaskawa Electric Corp.

68,000

736,402

Yokogawa Electric Corp.

72,500

1,065,781

Zeon Corp.

43,000

448,339

TOTAL JAPAN

1,102,435,826

Luxembourg - 0.0%

Acergy SA (a)(d)

81,000

1,533,330

Oriflame Cosmetics SA unit

11,217

433,860

Stolt-Nielsen SA

12,300

322,856

TOTAL LUXEMBOURG

2,290,046

Netherlands - 3.9%

ABN-AMRO Holding NV (d)

661,700

23,225,670

Aegon NV

531,189

10,509,087

Akzo Nobel NV

99,925

6,141,391

Arcelor Mittal

253,033

12,828,150

ASML Holding NV (a)

174,609

4,291,889

Buhrmann NV

44,906

613,874

Corio NV

14,660

1,362,872

EADS NV (d)

117,134

4,016,290

Common Stocks - continued

Shares

Value

Netherlands - continued

Euronext NV (d)

32,456

$ 3,532,691

Fugro NV (Certificaten Van Aandelen) unit

16,210

758,740

Getronics NV (d)

30,202

258,991

Hagemeyer NV (a)

176,607

836,692

Heineken NV (Bearer)

90,993

4,485,481

IHC Caland NV

54,462

1,938,024

ING Groep NV (Certificaten Van Aandelen)

687,228

29,365,252

James Hardie Industries NV unit unit

160,636

1,204,976

Koninklijke Ahold NV (a)

591,344

5,872,046

Koninklijke KPN NV

711,065

10,971,919

Koninklijke Numico NV

66,305

3,418,534

Koninklijke Philips Electronics NV

427,431

15,695,266

Oce NV

19,866

330,724

QIAGEN NV (a)(d)

42,820

698,123

Randstad Holdings NV

15,885

1,113,084

Reed Elsevier NV

263,382

4,656,582

Rodamco Europe NV

19,933

2,747,040

Royal DSM NV

57,040

2,472,097

STMicroelectronics NV

240,059

4,671,548

TNT NV

156,740

6,743,285

Unilever NV (Certificaten Van Aandelen)

621,237

16,105,213

Vedior NV (Certificaten Van Aandelen)

63,393

1,383,365

Wereldhave NV

7,749

1,030,694

Wolters Kluwer NV (Certificaten Van Aandelen)

101,417

3,069,387

TOTAL NETHERLANDS

186,348,977

New Zealand - 0.1%

Auckland International Airport Ltd.

339,479

533,824

Contact Energy Ltd.

130,563

812,065

Fisher & Paykel Appliances Holdings Ltd.

57,025

146,115

Fisher & Paykel Healthcare Corp.

128,247

351,115

Fletcher Building Ltd.

162,389

1,210,649

Kiwi Income Property Trust

299,510

327,999

Sky City Entertainment Group Ltd.

165,999

565,177

Sky Network Television Ltd.

55,207

218,968

Telecom Corp. of New Zealand Ltd.

715,705

2,439,659

The Warehouse Group Ltd.

11,392

55,740

Tower Ltd.

31,933

55,370

Vector Ltd.

26,868

50,926

TOTAL NEW ZEALAND

6,767,607

Norway - 0.8%

Aker Kvaerner ASA

8,940

1,037,755

Det Norske Oljeselskap ASA (DNO)
(A Shares) (a)(d)

255,600

453,385

DnB Nor ASA

237,859

3,218,660

Marine Harvest ASA (a)(d)

1,006,000

1,230,090

Norsk Hydro ASA

256,980

7,953,531

Norske Skogindustrier ASA (A Shares)

65,500

1,145,292

Ocean RIG ASA (d)

92,700

610,574

Shares

Value

Orkla ASA (A Shares)

67,169

$ 4,369,374

Petroleum Geo-Services ASA

70,600

1,640,201

ProSafe ASA

81,200

1,151,735

Schibsted ASA (B Shares)

22,050

896,926

Statoil ASA (d)

228,128

5,820,636

Storebrand ASA (A Shares)

66,450

885,104

TANDBERG ASA

42,350

757,767

TANDBERG Television ASA (a)

30,400

542,707

Telenor ASA

278,708

5,157,304

TGS Nopec Geophysical Co. ASA (a)

34,800

720,544

Tomra Systems AS (d)

44,700

343,975

Yara International ASA

81,617

2,258,749

TOTAL NORWAY

40,194,309

Portugal - 0.3%

Banco Comercial Portugues SA (Reg.)

783,673

2,862,323

Banco Espirito Santo SA (BES) (Reg.)

66,587

1,233,651

BPI-SGPS SA

124,283

1,055,897

Brisa Auto-Estradas de Portugal SA

98,490

1,278,603

Cimpor-Cimentos de Portugal SGPS SA (d)

90,960

741,491

Energias de Portugal SA

715,296

3,918,870

Jeronimo Martins SGPS SA

9,993

242,268

Portugal Telecom SGPS SA (Reg.) (d)

292,173

3,893,537

PT Multimedia SGPS SA

20,280

290,114

Sonae Industria SGPS SA (a)

12,264

143,956

Sonae SGPS SA

351,130

757,409

TOTAL PORTUGAL

16,418,119

Singapore - 1.0%

Allgreen Properties Ltd.

393,000

406,095

Ascendas Real Estate Investment Trust (A-REIT)

218,100

343,757

CapitaCommercial Trust (REIT)

429,000

777,169

CapitaLand Ltd.

500,000

2,305,353

CapitaMall Trust

302,000

683,379

Chartered Semiconductor Manufacturing Ltd. (a)

428,800

415,045

City Developments Ltd.

158,000

1,384,651

ComfortDelgro Corp. Ltd.

660,784

790,841

Cosco Corp. Singapore Ltd.

300,000

529,741

Creative Technology Ltd. (Singapore)

23,650

153,125

DBS Group Holdings Ltd.

399,361

5,615,422

Fraser & Neave Ltd.

338,150

1,088,060

Haw Par Corp. Ltd.

7,000

33,877

Jardine Cycle & Carriage Ltd.

55,390

460,059

Keppel Corp. Ltd.

196,000

2,320,133

Keppel Land Ltd.

99,000

540,630

Neptune Orient Lines Ltd.

110,000

211,504

Olam International Ltd.

218,000

350,728

Oversea-Chinese Banking Corp. Ltd.

912,968

5,075,196

Parkway Holdings Ltd.

298,200

585,069

SembCorp Industries Ltd.

345,130

997,662

SembCorp Marine Ltd.

153,000

344,214

Singapore Airlines Ltd.

198,170

2,047,733

Common Stocks - continued

Shares

Value

Singapore - continued

Singapore Exchange Ltd.

280,000

$ 1,245,218

Singapore Land Ltd.

38,000

236,094

Singapore Petroleum Co. Ltd.

25,000

73,248

Singapore Post Ltd.

284,000

213,597

Singapore Press Holdings Ltd.

623,021

1,792,808

Singapore Technologies Engineering Ltd.

471,161

1,010,698

Singapore Telecommunications Ltd.

2,606,827

5,421,477

SMRT Corp. Ltd.

119,000

112,070

STATS ChipPAC Ltd. (a)

599,000

583,702

Suntec (REIT)

311,000

376,279

United Overseas Bank Ltd.

421,846

5,683,285

Uol Group Ltd.

201,984

667,093

Venture Corp. Ltd.

107,808

972,990

Want Want Holdings Ltd.

132,000

203,280

Wing Tai Holdings Ltd.

145,000

257,938

TOTAL SINGAPORE

46,309,220

Spain - 4.0%

Abertis Infraestructuras SA (d)

85,575

2,441,577

Acerinox SA (Reg.) (d)

62,664

1,669,309

Actividades de Construccion y Servicios SA (ACS)

90,867

5,145,448

Altadis SA (Spain)

91,361

4,635,405

Antena 3 Television SA (d)

21,140

473,627

Azucarera Ebro Agricolas SA

34,604

805,960

Banco Bilbao Vizcaya Argentaria SA

1,300,750

31,686,270

Banco Popular Espanol SA (Reg.)

290,899

5,724,373

Banco Santander Central Hispano SA

2,176,535

40,374,724

Cintra Concesiones de Infrastructuras de Transporte SA

85,529

1,505,358

Corporacion Mapfre SA (Reg.)

223,742

1,110,334

Endesa SA

267,281

13,572,529

Fadesa Inmobiliaria SA

16,088

770,061

Fomento Construcciones y Contratas SA (FOCSA)

16,720

1,739,136

Gas Natural SDG SA Series E

66,451

2,845,671

Grupo Acciona SA

10,612

2,122,658

Grupo Auxiliar Metalurgico SA (Gamesa)

54,573

1,567,878

Grupo Ferrovial SA

22,706

2,250,594

Iberdrola SA (d)

273,494

12,005,161

Iberia Lineas Aereas de Espana SA

124,208

524,342

Inditex SA

81,199

4,726,932

Indra Sistemas SA

37,989

874,746

NH Hoteles SA (d)

28,411

642,169

NH Hoteles SA rights 3/14/07 (a)

28,411

9,775

Promotora de Informaciones SA (PRISA)

24,613

488,574

Repsol YPF SA

292,475

9,253,909

Sociedad General de Aguas de Barcelona SA

19,298

649,432

Sociedad General de Aguas de Barcelona SA (New)

186

6,114

Sogecable SA (a)(d)

16,433

617,604

Shares

Value

Telefonica SA

1,639,655

$ 35,186,996

Union Fenosa SA

40,224

2,017,433

Vallehermoso SA

37,575

2,043,692

Zeltia SA (d)

76,948

697,530

TOTAL SPAIN

190,185,321

Sweden - 2.5%

Alfa Laval AB

37,400

1,871,738

Assa Abloy AB (B Shares)

107,043

2,318,870

Atlas Copco AB:

(A Shares)

123,580

3,896,388

(B Shares)

78,155

2,335,654

Axfood AB

10,950

430,578

Billerud AB

11,700

172,317

Boliden AB

107,700

2,279,202

Castellum AB

46,600

633,016

D. Carnegie & Co. AB

16,490

347,201

Electrolux AB (B Shares)

102,269

2,295,879

Elekta AB (B Shares)

22,794

488,897

Eniro AB

63,515

749,265

Fabege AB

32,665

880,439

Getinge AB (B Shares)

64,000

1,326,946

Hennes & Mauritz AB (H&M) (B Shares)

172,371

9,008,594

Hoganas AB (A Shares)

5,600

139,329

Holmen AB (B Shares)

17,200

703,396

Husqvarna AB (B Shares) (a)(d)

97,269

1,509,071

Kungsleden AB

39,810

671,707

Lundin Petroleum AB (a)(d)

85,200

877,157

Modern Times Group AB (MTG) (B Shares)

19,775

1,095,705

Nobia AB

17,650

710,442

Nordea Bank AB

754,473

11,478,648

OMX AB

40,400

768,313

Sandvik AB

366,830

5,769,829

SAS AB (a)

20,400

363,895

Scania AB (B Shares)

37,504

2,772,513

Securitas AB (B Shares)

122,808

1,839,442

Securitas Direct AB (a)(d)

176,508

512,349

Securitas Systems AB

73,508

243,853

Skandinaviska Enskilda Banken AB
(A Shares)

168,875

5,179,622

Skanska AB (B Shares)

142,469

2,938,608

SKF AB (B Shares)

142,000

2,649,746

SSAB Swedish Steel AB:

(A Shares)

62,757

1,691,527

(B Shares)

20,807

534,047

Svenska Cellulosa AB (SCA) (B Shares)

65,504

3,400,007

Svenska Handelsbanken AB (A Shares)

182,664

5,263,001

Swedish Match Co.

108,350

1,874,648

TELE2 AB (B Shares)

132,259

1,995,185

Telefonaktiebolaget LM Ericsson
(B Shares)

5,451,573

19,494,825

Telelogic AB (a)

52,000

100,379

TeliaSonera AB

717,635

6,054,260

Common Stocks - continued

Shares

Value

Sweden - continued

Trelleborg AB (B Shares)

31,000

$ 784,586

Volvo AB:

(A Shares)

33,440

2,653,778

(B Shares)

79,822

6,152,007

Wihlborgs Fastigheter AB

15,506

305,420

TOTAL SWEDEN

119,562,279

Switzerland - 6.8%

ABB Ltd. (Reg.)

745,829

12,514,628

Adecco SA (Reg.)

50,805

3,389,084

Ciba Specialty Chemicals, Inc.

27,946

1,778,225

Clariant AG (Reg.)

92,899

1,455,894

Compagnie Financiere Richemont unit

190,611

10,525,637

Credit Suisse Group (Reg.)

419,245

29,032,716

Geberit AG (Reg.)

1,572

2,597,750

Givaudan AG

2,245

1,996,784

Holcim Ltd. (Reg.)

75,683

7,520,173

Kudelski SA (Bearer) (d)

17,490

649,372

Kuehne & Nagel International AG

21,731

1,658,242

Kuoni Reisen Holding AG Class B (Reg.)

1,306

750,113

Logitech International SA (Reg.)

69,816

1,825,688

Lonza Group AG

16,123

1,435,360

Micronas Semiconductor Holding AG (d)

21,936

449,969

Nestle SA (Reg.)

146,567

54,598,087

Nobel Biocare Holding AG (Switzerland)

8,352

2,772,007

Novartis AG (Reg.)

854,465

47,362,995

Oc Oerlikon Corp. AG (Reg.) (a)

2,670

1,334,178

Phonak Holding AG

19,458

1,472,023

PSP Swiss Property AG

17,352

987,373

Rieter Holding AG (Reg.)

1,918

970,213

Roche Holding AG (participation certificate)

257,926

46,008,708

Schindler Holding AG (participation certificate)

21,795

1,376,997

SIG Holding AG

2,302

774,416

Societe Generale de Surveillance Holding SA (SGS) (Reg.)

1,708

1,931,179

Straumann Holding AG

2,630

692,162

Sulzer AG (Reg.)

1,376

1,676,603

Swiss Reinsurance Co. (Reg.)

124,429

10,617,941

Swisscom AG (Reg.)

7,895

2,966,901

Syngenta AG (Switzerland)

39,313

6,919,088

The Swatch Group AG:

(Bearer)

12,223

2,986,173

(Reg.)

24,043

1,184,642

UBS AG (Reg.)

734,300

43,353,072

Zurich Financial Services AG (Reg.)

52,128

14,927,321

TOTAL SWITZERLAND

322,491,714

United Kingdom - 23.1%

3i Group PLC

172,215

3,778,801

Aegis Group PLC

395,776

1,109,828

Aggreko PLC

103,051

880,079

Shares

Value

Alliance Boots PLC

315,956

$ 4,900,142

AMEC PLC

121,662

1,103,549

Amvescap PLC

257,781

3,043,374

Anglo American PLC (United Kingdom)

525,026

24,917,684

ARM Holdings PLC

414,375

1,043,953

Arriva PLC

55,771

786,616

AstraZeneca PLC (United Kingdom)

566,670

31,807,187

Aviva PLC

932,437

14,983,136

BAE Systems PLC

1,159,328

9,923,700

Balfour Beatty PLC

140,781

1,254,155

Barclays PLC

2,371,229

34,697,008

Barratt Developments PLC

89,002

2,059,563

BBA Aviation plc

149,376

802,543

Bellway PLC

34,684

1,007,691

Berkeley Group Holdings PLC unit

28,979

866,988

BG Group PLC

1,238,223

16,831,968

BHP Billiton PLC

877,714

17,612,513

Biffa PLC

141,286

901,318

Bovis Homes Group PLC

35,030

716,343

BP PLC

7,149,634

73,450,573

British Airways PLC (a)

202,685

2,144,407

British American Tobacco PLC

567,075

17,298,623

British Land Co. PLC

182,607

5,377,111

British Sky Broadcasting Group PLC (BSkyB)

411,751

4,505,259

Brixton PLC

104,690

1,004,615

BT Group PLC

3,029,944

17,597,915

Bunzl PLC

138,664

1,795,060

Burberry Group PLC

170,861

2,119,563

Cable & Wireless PLC

921,786

2,983,221

Cadbury Schweppes PLC

769,211

8,235,158

Capita Group PLC

231,578

2,943,279

Carnival PLC

61,152

2,924,289

Carphone Warehouse Group PLC (d)

161,800

944,779

Cattles PLC

106,700

909,670

Centrica PLC

1,337,923

9,836,098

Charter PLC (a)

52,227

881,802

Close Brothers Group PLC

44,941

913,720

Cobham PLC

377,744

1,472,950

Collins Stewart PLC (a)

120,971

541,809

Compass Group PLC

788,489

4,693,191

Cookson Group PLC

68,671

790,498

Corus Group PLC

340,761

4,033,080

CSR PLC (a)

51,632

731,281

Daily Mail & General Trust PLC Class A

119,385

1,815,184

Davis Service Group PLC

72,669

738,023

De La Rue PLC

67,960

906,469

Diageo PLC

1,005,472

19,956,106

DSG International PLC

643,476

2,161,516

Electrocomponents PLC

156,889

816,711

EMAP PLC

89,658

1,272,497

EMI Group PLC

304,122

1,438,282

Enterprise Inns PLC

229,373

2,836,403

Experian Group Ltd.

391,853

4,583,897

Common Stocks - continued

Shares

Value

United Kingdom - continued

First Choice Holidays PLC

202,863

$ 1,007,219

FirstGroup PLC

150,246

1,794,471

FKI PLC

143,772

310,668

Friends Provident PLC

641,381

2,595,453

Galiform PLC (a)

237,595

593,916

Gallaher Group PLC

240,176

5,320,499

George Wimpey PLC

132,599

1,482,117

GKN PLC

226,227

1,528,737

GlaxoSmithKline PLC

2,090,805

58,720,258

Great Portland Estates PLC

70,470

1,039,619

Group 4 Securicor PLC (United Kingdom)

372,081

1,350,367

Hammerson PLC

106,393

3,212,306

Hanson PLC

252,143

4,029,345

Hays PLC

523,079

1,520,754

HBOS plc

1,381,406

29,334,383

HMV Group PLC

80,760

220,516

Home Retail Group

340,017

2,825,341

HSBC Holdings PLC (United Kingdom) (Reg.)

4,239,259

74,271,825

Icap PLC

183,391

1,696,793

IMI PLC

115,581

1,159,077

Imperial Chemical Industries PLC

422,456

3,819,002

Imperial Tobacco Group PLC

247,912

10,324,365

Inchcape PLC

187,424

1,927,400

InterContinental Hotel Group PLC

135,908

3,203,732

International Power PLC

537,174

3,851,570

Intertek Group PLC

54,496

923,323

Invensys PLC (a)

317,249

1,765,225

Investec PLC

124,144

1,502,230

ITV PLC

1,543,732

3,328,177

J Sainsbury PLC

521,238

5,234,791

Johnson Matthey PLC

82,139

2,488,076

Kelda Group PLC

139,336

2,441,508

Kesa Electricals PLC

215,586

1,430,362

Kingfisher PLC

820,684

4,054,561

Land Securities Group PLC

171,068

6,915,826

Legal & General Group PLC

2,341,491

7,198,413

Liberty International PLC

103,228

2,457,707

Lloyds TSB Group PLC

2,078,199

23,433,057

LogicaCMG PLC

575,570

1,916,451

London Stock Exchange Group PLC

56,745

1,406,750

Man Group plc

639,677

6,898,632

Marks & Spencer Group PLC

606,327

8,039,714

Meggitt PLC

159,802

1,054,755

Meinl European Land Ltd. (a)

98,845

2,674,994

Michael Page International PLC

120,892

1,141,093

Misys PLC

171,736

787,731

Mitchells & Butlers PLC

150,387

2,096,006

National Express Group PLC Class L

60,703

1,310,502

National Grid PLC

978,656

14,668,460

Shares

Value

Next PLC

83,244

$ 3,339,171

Old Mutual plc

1,910,768

6,615,566

Pearson PLC

287,682

4,464,468

Persimmon PLC

107,439

2,946,302

Premier Farnell PLC

123,229

436,938

Provident Financial PLC

80,053

1,153,474

Prudential PLC

894,042

11,828,385

Punch Taverns Ltd.

101,401

2,302,661

Rank Group PLC

220,688

970,000

Reckitt Benckiser PLC

223,085

11,236,170

Reed Elsevier PLC

463,822

5,407,568

Rentokil Initial PLC

722,064

2,102,811

Resolution PLC

236,599

2,918,787

Reuters Group PLC

479,814

4,107,147

Rexam PLC

198,636

1,966,611

Rio Tinto PLC (Reg.)

380,143

20,590,446

Rolls-Royce Group PLC

663,718

6,404,955

Royal & Sun Alliance Insurance Group PLC

1,089,774

3,286,054

Royal Bank of Scotland Group PLC

1,159,051

45,741,711

Royal Dutch Shell PLC:

Class A (United Kingdom)

1,363,336

44,242,827

Class B

1,015,050

33,014,501

SABMiller PLC

322,373

7,143,280

Sage Group PLC

454,221

2,293,138

Schroders PLC

39,880

860,960

Scottish & Newcastle PLC

287,251

2,970,912

Scottish & Southern Energy PLC

312,656

8,825,787

Scottish Power PLC

541,270

8,134,022

Serco Group PLC

166,442

1,395,296

Severn Trent PLC

88,804

2,409,107

Signet Group PLC

617,750

1,422,838

Slough Estates PLC

157,933

2,306,661

Smith & Nephew PLC

334,024

3,877,351

Smiths Group PLC

219,821

4,447,709

SSL International PLC

54,371

393,849

Stagecoach Group PLC

299,156

916,753

Standard Life PLC

752,374

4,456,060

Tate & Lyle PLC

181,784

2,005,097

Taylor Woodrow PLC

224,020

1,789,964

Tesco PLC

2,846,896

24,159,352

Tomkins PLC

328,665

1,657,654

Travis Perkins PLC

38,279

1,471,571

Trinity Mirror PLC

89,234

859,804

Tullett Prebon PLC

85,395

1,040,050

Unilever PLC

445,072

11,967,986

United Business Media PLC

87,153

1,213,832

United Utilities PLC

326,206

4,661,813

Vodafone Group PLC

19,167,686

53,477,844

Whitbread PLC

77,864

2,520,716

William Hill PLC

134,830

1,677,888

Common Stocks - continued

Shares

Value

United Kingdom - continued

Wolseley PLC

232,276

$ 5,835,859

WPP Group plc

433,869

6,293,704

Xstrata PLC

221,580

10,424,758

Yell Group PLC

276,249

3,250,555

TOTAL UNITED KINGDOM

1,103,227,978

United States of America - 0.1%

Synthes, Inc.

19,338

2,421,316

TOTAL COMMON STOCKS

(Cost $3,892,711,998)

4,720,228,375

Nonconvertible Preferred Stocks - 0.5%

Germany - 0.3%

Henkel KGaA

22,732

3,212,198

Porsche AG (non-vtg.)

2,796

3,668,155

ProSiebenSat.1 Media AG

29,881

1,013,488

RWE AG (non-vtg.)

13,757

1,260,537

Volkswagen AG

38,200

3,369,289

TOTAL GERMANY

12,523,667

Italy - 0.2%

Intesa Sanpaolo Spa

347,362

2,473,086

Telecom Italia Spa (Risp)

2,295,928

5,836,606

UNIPOL Assicurazioni Spa

307,293

1,046,733

TOTAL ITALY

9,356,425

TOTAL NONCONVERTIBLE PREFERRED STOCKS

(Cost $16,640,514)

21,880,092

Government Obligations - 0.1%

Principal Amount

United States of America - 0.1%

U.S. Treasury Bills, yield at date of purchase 4.86% 3/22/07 (e)
(Cost $7,478,000)

$ 7,500,000

7,477,665

Money Market Funds - 3.4%

Shares

Value

Fidelity Cash Central Fund, 5.35% (b)

55,751,465

$ 55,751,465

Fidelity Securities Lending Cash Central Fund, 5.34% (b)(c)

108,007,320

108,007,320

TOTAL MONEY MARKET FUNDS

(Cost $163,758,785)

163,758,785

TOTAL INVESTMENT
PORTFOLIO - 102.9%

(Cost $4,080,589,297)

4,913,344,917

NET OTHER ASSETS - (2.9)%

(140,512,119)

NET ASSETS - 100%

$ 4,772,832,798

Futures Contracts

Expiration
Date

Underlying
Face Amount
at Value

Unrealized
Appreciation/
(Depreciation)

Purchased

Equity Index Contracts

14 CAC 40 Index Contracts (France)

March 2007

$ 1,022,963

$ (26,971)

4 DAX 100 Index Contracts (Germany)

March 2007

892,997

(24,956)

68 Dow Jones Euro Stoxx 50 Index Contracts (Germany)

March 2007

3,684,101

(18,893)

36 FTSE 100 Index Contracts (United Kingdom)

March 2007

4,354,839

(152)

1 IBEX 35 Index Contracts (Spain)

March 2007

188,597

(239)

2 MIB 30 Index Contracts (Italy)

March 2007

546,676

(15,593)

3 MSCI Index Contracts (Singapore)

March 2007

148,798

(9,716)

52 Nikkei 225 Index Contracts (Japan)

March 2007

4,548,700

277,290

39 OMX Index Contracts (Sweden)

March 2007

646,050

(27,065)

11 Share Price Index 200 Contracts (Australia)

March 2007

1,257,214

54,334

TOTAL EQUITY INDEX CONTRACTS

$ 17,290,935

$ 208,039

The face value of futures purchased as a percentage of net assets - 0.3%

Forward Foreign Currency Contracts

Settlement
Dates

Value

Unrealized
Appreciation/
(Depreciation)

Contracts to Buy

1,603,000 AUD

April 2007

$ 1,261,423

$ 24,093

4,388,000 EUR

April 2007

5,818,979

131,636

2,073,000 GBP

April 2007

4,071,899

36,601

504,545,000 JPY

April 2007

4,288,456

109,434

4,626,000 SEK

April 2007

663,305

8,578

$ 16,104,062

$ 310,342

(Payable Amount $15,793,720)

The value of contracts to buy as a percentage of net assets - 0.3%

Currency Abbreviations

AUD

-

Australian dollar

EUR

-

European Monetary Unit

GBP

-

British pound

JPY

-

Japanese yen

SEK

-

Swedish krona

Legend

(a) Non-income producing

(b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request.

(c) Investment made with cash collateral received from securities on loan.

(d) Security or a portion of the security is on loan at period end.

(e) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $5,483,621.

Affiliated Central Funds

Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:

Fund

Income earned

Fidelity Cash Central Fund

$ 3,242,739

Fidelity Securities Lending Cash Central Fund

760,403

Total

$ 4,003,142

Income Tax Information

At February 28, 2007, the fund had a capital loss carryforward of approximately $8,465,526 all of which will expire on February 28, 2011.

See accompanying notes which are an integral part of the financial statements.

Annual Report

Spartan International Index Fund

Financial Statements

Statement of Assets and Liabilities

February 28, 2007

Assets

Investment in securities, at value
(including securities loaned of $102,466,313) -
See accompanying schedule:

Unaffiliated issuers (cost $3,916,830,512)

$ 4,749,586,132

Fidelity Central Funds
(cost $163,758,785)

163,758,785

Total Investments
(cost $4,080,589,297)

$ 4,913,344,917

Foreign currency held at value
(cost $3,488,994)

3,505,599

Unrealized appreciation on foreign currency contracts

310,342

Receivable for closed foreign currency contracts

539,505

Receivable for fund shares sold

27,721,057

Dividends receivable

5,784,805

Distributions receivable from Fidelity Central Funds

248,885

Receivable from investment adviser for expense reductions

409,291

Other receivables

161,915

Total assets

4,952,026,316

Liabilities

Payable for investments purchased

$ 59,273,128

Payable for fund shares redeemed

9,769,046

Accrued management fee

666,324

Payable for daily variation on futures contracts

1,393,919

Other affiliated payables

83,781

Collateral on securities loaned, at value

108,007,320

Total liabilities

179,193,518

Net Assets

$ 4,772,832,798

Net Assets consist of:

Paid in capital

$ 3,967,689,373

Undistributed net investment income

10,992,689

Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions

(39,192,884)

Net unrealized appreciation
(depreciation) on investments and assets and liabilities in foreign
currencies

833,343,620

Net Assets

$ 4,772,832,798

Investor Class:
Net Asset Value, offering price and redemption price per share ($3,398,351,702 ÷ 75,977,425 shares)

$ 44.73

Fidelity Advantage Class:
Net Asset Value, offering price and redemption price per share ($1,374,481,096 ÷ 30,727,819 shares)

$ 44.73

Statement of Operations

Year ended February 28, 2007

Investment Income

Dividends

$ 78,203,670

Interest

503,383

Income from Fidelity Central Funds (including $760,403 from security lending)

4,003,142

82,710,195

Less foreign taxes withheld

(5,608,454)

Total income

77,101,741

Expenses

Management fee

$ 5,127,010

Transfer agent fees

640,162

Independent trustees' compensation

10,299

Miscellaneous

6,751

Total expenses before reductions

5,784,222

Expense reductions

(3,151,076)

2,633,146

Net investment income (loss)

74,468,595

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

Unaffiliated issuers

18,087,906

Foreign currency transactions

1,554,195

Futures contracts

(229,211)

Total net realized gain (loss)

19,412,890

Change in net unrealized appreciation (depreciation) on:

Investment securities

485,539,081

Assets and liabilities in foreign currencies

1,019,074

Futures contracts

689,805

Total change in net unrealized
appreciation (depreciation)

487,247,960

Net gain (loss)

506,660,850

Net increase (decrease) in net assets resulting from operations

$ 581,129,445

See accompanying notes which are an integral part of the financial statements.

Annual Report

Statement of Changes in Net Assets

Year ended
February 28,
2007

Year ended
February 28,
2006

Increase (Decrease) in Net Assets

Operations

Net investment income (loss)

$ 74,468,595

$ 34,774,634

Net realized gain (loss)

19,412,890

12,073,637

Change in net unrealized appreciation (depreciation)

487,247,960

215,132,978

Net increase (decrease) in net assets resulting from operations

581,129,445

261,981,249

Distributions to shareholders from net investment income

(69,190,968)

(28,024,338)

Distributions to shareholders from net realized gain

(6,955,306)

(2,603,383)

Total distributions

(76,146,274)

(30,627,721)

Share transactions - net increase (decrease)

2,231,762,509

623,019,068

Redemption fees

508,726

224,559

Total increase (decrease) in net assets

2,737,254,406

854,597,155

Net Assets

Beginning of period

2,035,578,392

1,180,981,237

End of period (including undistributed net investment income of $10,992,689 and undistributed net investment income of $10,008,763, respectively)

$ 4,772,832,798

$ 2,035,578,392

Financial Highlights - Investor Class

Years ended February 28,

2007

2006

2005

2004 F

2003

Selected Per-Share Data

Net asset value, beginning of period

$ 37.60

$ 32.69

$ 28.41

$ 18.91

$ 23.41

Income from Investment Operations

Net investment income (loss) B

1.03

.85

.64

.47

.41

Net realized and unrealized gain (loss)

7.00

4.72

4.25

9.57

(4.52)

Total from investment operations

8.03

5.57

4.89

10.04

(4.11)

Distributions from net investment income

(.83)

(.60)

(.55)

(.55)

(.39)

Distributions from net realized gain

(.08)

(.07)

(.07)

-

-

Total distributions

(.91)

(.67)

(.62)

(.55)

(.39)

Redemption fees added to paid in capital B

.01

.01

.01

.01

- G

Net asset value, end of period

$ 44.73

$ 37.60

$ 32.69

$ 28.41

$ 18.91

Total Return A

21.48%

17.23%

17.41%

53.55%

(17.65)%

Ratios to Average Net Assets C, E

Expenses before reductions

.20%

.20%

.58%

.60%

.58%

Expenses net of fee waivers, if any

.10%

.10%

.25%

.47%

.40%

Expenses net of all reductions

.10%

.10%

.25%

.47%

.39%

Net investment income (loss)

2.48%

2.54%

2.19%

1.99%

1.87%

Supplemental Data

Net assets, end of period (000 omitted)

$ 3,398,352

$ 1,440,236

$ 1,180,981

$ 556,578

$ 327,245

Portfolio turnover rate D

2%

2%

6%

31%

19%

A Total returns would have been lower had certain expenses not been reduced during the periods shown.

B Calculated based on average shares outstanding during the period.

C Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

D Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

F For the year ended February 29.

G Amount represents less than $.01 per share.

See accompanying notes which are an integral part of the financial statements.

Annual Report

Financial Highlights - Fidelity Advantage Class

Years ended February 28,

2007

2006 G

Selected Per-Share Data

Net asset value, beginning of period

$ 37.61

$ 33.92

Income from Investment Operations

Net investment income (loss) D

1.04

.18

Net realized and unrealized gain (loss)

6.99

4.03

Total from investment operations

8.03

4.21

Distributions from net investment income

(.84)

(.52)

Distributions from net realized gain

(.08)

-

Total distributions

(.92)

(.52)

Redemption fees added to paid in capital D

.01

- I

Net asset value, end of period

$ 44.73

$ 37.61

Total Return B,C

21.49%

12.49%

Ratios to Average Net Assets E, H

Expenses before reductions

.17%

.17% A

Expenses net of fee waivers, if any

.07%

.07% A

Expenses net of all reductions

.07%

.07% A

Net investment income (loss)

2.51%

1.35% A

Supplemental Data

Net assets, end of period (000 omitted)

$ 1,374,481

$ 595,342

Portfolio turnover rate F

2%

2%

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower had certain expenses not been reduced during the periods shown.

D Calculated based on average shares outstanding during the period.

E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

G For the period October 14, 2005 (commencement of sale of shares) to February 28, 2006.

H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

I Amount represents less than $.01 per share.

See accompanying notes which are an integral part of the financial statements.

Annual Report

Notes to Financial Statements

For the period ended February 28, 2007

1. Organization.

Spartan Total Market Index Fund, Spartan Extended Market Index Fund and Spartan International Index Fund (the Funds) are funds of Fidelity Concord Street Trust (the trust). The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. Each Fund is authorized to issue an unlimited number of shares. Each Fund offers Investor Class and Fidelity Advantage Class shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Each Fund offers conversion privileges between share classes within each Fund to eligible shareholders. Investment income, realized and unrealized capital gains and losses, the common expenses of each Fund, and certain fund-level expense reductions, if any, are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of each Fund. Each class differs with respect to transfer agent fees incurred and certain class-level expense reductions. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements.

2. Investments in Fidelity Central Funds.

The Funds may invest in Fidelity Central Funds which are open-end investment companies available only to other investment companies and accounts managed by Fidelity Management & Research Company (FMR) and its affiliates. The Funds' Schedule of Investments lists each of the Fidelity Central Funds as an investment of each Fund but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Funds indirectly bear their proportionate share of the expenses of the underlying Fidelity Central Funds. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Funds' Report of Independent Registered Public Accounting Firm, are available on the EDGAR Database on the SEC's web site, www.sec.gov, or upon request.

The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM) an affiliate of FMR.

3. Significant Accounting Policies.

The following summarizes the significant accounting policies of the Funds:

Security Valuation. Investments are valued and net asset value (NAV) per share is calculated (NAV calculation) as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time. Wherever possible, each Fund uses independent pricing services approved by the Board of Trustees to value their investments.

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price. Debt securities, including restricted securities, for which quotations are readily available, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value.

When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. For example, when developments occur between the close of a market and the close of the NYSE that may materially affect the value of some or all of the securities, or when trading in a security is halted, those securities may be fair valued. Factors used in the determination of fair value may include monitoring news to identify significant market or security specific events such as changes in the value of U.S. securities markets, reviewing developments in foreign markets and evaluating the performance of ADRs, futures contracts and exchange-traded funds. Because each Fund's utilization of fair value pricing depends on market activity, the frequency with which fair value pricing is used cannot be predicted and may be utilized to a significant extent. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities.

Foreign Currency. Funds may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.

Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rate at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

Annual Report

Notes to Financial Statements - continued

3. Significant Accounting Policies - continued

Investment Transactions and Income. For financial reporting purposes, the Funds' investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV for processing shareholder transactions includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Funds estimate the components of distributions received that may be considered return of capital distributions or capital gain distributions. Interest income and capital gain distributions from the Fidelity Central Funds are accrued as earned, with any distributions receivable as of period end included in Distributions receivable from Fidelity Central Funds on the Statement of Assets and Liabilities. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.

Expenses. Most expenses of each trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Income Tax Information and Distributions to Shareholders. Each year, each Fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements. Foreign taxes are provided for based on each Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

Distributions are recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. In addition, each Fund will claim a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.

Book-tax differences are primarily due to futures transactions, swap agreements, foreign currency transactions, passive foreign investment companies (PFIC), market discount, partnerships, capital loss carryforwards, losses deferred due to wash sales, and excise tax regulations.

The tax-basis components of distributable earnings and the federal tax cost as of period end were as follows for each Fund:

Cost for
Federal Income
Tax Purposes

Unrealized
Appreciation

Unrealized
Depreciation

Net Unrealized
Appreciation/
(Depreciation)

Spartan Total Market Index

$ 5,850,686,629

$ 1,312,116,204

$ (369,715,523)

$ 942,400,681

Spartan Extended Market Index

2,793,299,427

749,324,063

(243,394,893)

505,929,170

Spartan International Index

4,118,123,143

909,631,036

(114,409,262)

795,221,774

Undistributed
Ordinary Income

Undistributed
Long-term
Capital Gain

Capital Loss
Carryforward

Spartan Total Market Index

$ 18,919,991

$ -

$ (11,563,826)

Spartan Extended Market Index

10,185,166

51,738,606

-

Spartan International Index

12,236,889

-

(8,465,526)

The tax character of distributions paid was as follows:

February 28, 2007

Ordinary Income

Long-term
Capital Gains

Tax Return
of Capital

Total

Spartan Total Market Index

$ 74,441,874

$ -

$ -

$ 74,441,874

Spartan Extended Market Index

36,794,966

63,459,918

-

100,254,884

Spartan International Index

76,146,274

-

-

76,146,274

February 28, 2006

Ordinary Income

Long-term
Capital Gains

Tax Return
of Capital

Total

Spartan Total Market Index

$ 50,233,105

$ -

$ -

$ 50,233,105

Spartan Extended Market Index

18,167,972

5,453,013

-

23,620,985

Spartan International Index

30,627,721

-

-

30,627,721

Annual Report

3. Significant Accounting Policies - continued

Short-Term Trading (Redemption) Fees. Shares held in the Funds less than 90 days are subject to a redemption fee equal to .50%, .75% and 1.00% of the amount invested in Spartan Total Market Index, Spartan Extended Market Index and Spartan International Index, respectively. All redemption fees, including any estimated redemption fees paid by FMR, are retained by the Funds and accounted for as an addition to paid in capital.

Spartan Extended Market Index and Spartan International Index also receive their allocable share of redemption fees attributable to redemptions from the Fidelity Four-in-One Index Fund. For the period these fees totaled $4,098 and $5,464, respectively.

New Accounting Pronouncements. In July 2006, Financial Accounting Standards Board Interpretation No. 48, Accounting for Uncertainty in Income Taxes - an interpretation of FASB Statement 109 (FIN 48), was issued and is effective on the last business day of the semiannual reporting period for fiscal years beginning after December 15, 2006. FIN 48 sets forth a threshold for financial statement recognition, measurement and disclosure of a tax position taken or expected to be taken on a tax return. Management is currently evaluating the impact, if any, the adoption of FIN 48 will have on the Funds' net assets, results of operations and financial statement disclosures.

In addition, in September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact the adoption of SFAS 157 will have on the Funds' financial statement disclosures.

4. Operating Policies.

Forward Foreign Currency Contracts. Spartan International Index Fund generally uses foreign currency contracts to facilitate transactions in foreign-denominated securities and to manage the Fund's currency exposure. Contracts to sell generally are used to hedge the Fund's investments against currency fluctuations, while contracts to buy generally are used to offset a previous contract to sell. Also, a contract to buy can be used to acquire exposure to foreign currencies and a contract to sell can be used to offset a previous contract to buy. These contracts involve market risk in excess of the unrealized gain or loss reflected in the Fund's Statement of Assets and Liabilities. The U.S. dollar value of the currencies the Fund has committed to buy or sell is shown in the Schedule of Investments under the caption "Forward Foreign Currency Contracts." This amount represents the aggregate exposure to each currency the Fund has acquired or hedged through currency contracts at period end. Losses may arise from changes in the value of foreign currency or if the counterparties do not perform under the contracts' terms.

The U.S. dollar value of forward foreign currency contracts is determined using forward currency exchange rates supplied by a quotation service. Purchases and sales of forward foreign currency contracts having the same settlement date and broker are offset and any realized gain (loss) recognized on the date of offset: otherwise, gain (loss) is recognized on settlement date. Contracts that have been offset with different counterparties are reflected as both a contract to buy and a contract to sell in the Schedule of Investments under the caption "Forward Foreign Currency Contracts."

Futures Contracts. Certain Funds may use futures contracts to manage their exposure to the stock market and to fluctuations in currency values. Buying futures tends to increase a fund's exposure to the underlying instrument, while selling futures tends to decrease a fund's exposure to the underlying instrument or hedge other fund investments. Upon entering into a futures contract, a fund is required to deposit with a clearing broker, no later than the following business day, an amount ("initial margin") equal to a certain percentage of the face value of the contract. The initial margin may be in the form of cash or securities and is transferred to a segregated account on settlement date. Subsequent payments ("variation margin") are made or received by a fund depending on the daily fluctuations in the value of the futures contract and are accounted for as unrealized gains or losses. Realized gains (losses) are recorded upon the expiration or closing of the futures contract. Securities deposited to meet margin requirements are identified in each applicable fund's Schedule of Investments. Futures contracts involve, to varying degrees, risk of loss in excess of any futures variation margin reflected in each applicable fund's Statement of Assets and Liabilities. The underlying face amount at value of any open futures contracts at period end is shown in each applicable fund's Schedule of Investments under the caption "Futures Contracts." This amount reflects each contract's exposure to the underlying instrument at period end. Losses may arise from changes in the value of the underlying instruments or if the counterparties do not perform under the contract's terms. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.

Swap Agreements. Certain Funds may invest in swaps for the purpose of managing their market exposure. A swap is an agreement to exchange one payment stream for another, for a set period of time. Payments are based on a notional principal amount and are settled periodically. Total return swaps usually involve commitments to pay interest in exchange for the return of an equity security. A fund will make periodic payments based on a notional principal amount to the counterparty and will receive payments from the counterparty representing dividends of the underlying security. Periodic payments received or made by each applicable Fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively. Gains or losses are realized upon expiration or termination of the swap agreement based on the change in value of the underlying equity security.

Annual Report

Notes to Financial Statements - continued

4. Operating Policies - continued

Swap Agreements - continued

Swaps are marked-to-market daily based on dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian in compliance with swap contracts. Risks may exceed amounts recognized on each applicable Funds Statement of Assets and Liabilities. These risks include changes in the returns of the underlying instruments, failure of the counterparties to perform under the contracts' terms and the possible lack of liquidity with respect to the swap agreements. Details of swap agreements open at period end are included in each applicable Fund's Schedule of Investments under the caption "Swap Agreements."

5. Purchases and Sales of Investments.

Purchases and sales of securities, other than short-term securities and in kind transactions, are noted in the table below.

Purchases ($)

Sales ($)

Spartan Total Market Index

1,635,941,897

179,736,662

Spartan Extended Market Index

1,007,435,139

388,150,566

Spartan International Index

2,187,141,665

66,087,841

Securities received through in-kind subscriptions are noted in the table below.

Value of securities

Received

Delivered

Realized gain (loss)

Spartan Total Market Index

$ 955,653,054

$ -

$ -

Spartan International Index

$ 139,600,069

$ -

$ -

6. Fees and Other Transactions with Affiliates.

Management Fee and Expense Contract. FMR and its affiliates provide the Funds with investment management related services for which the Funds pay a monthly management fee. The management fee is based on an annual rate of .07%, .07% and .17% of average net assets for Spartan Total Market Index, Spartan Extended Index and Spartan International Index funds, respectively. Under the management contract, FMR pays all other fund-level expenses, except the compensation of the independent Trustees and certain other expenses such as interest expense.

In addition, under the expense contract, FMR pays class-level expenses so that the total expenses do not exceed certain amounts of each class' average net assets with certain exceptions, as noted in the following table:

Investor Class

Advantage Class

Spartan Total Market Index

.10%

.07%

Spartan Extended Market Index

.10%

.07%

Spartan International Market Index

.20%

.17%

Sub-Adviser. Geode Capital Management, LLC (Geode), serves as sub-adviser for the Funds. Geode provides discretionary investment advisory services to the Funds and is paid by FMR for providing these services.

Transfer Agent Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, is each Fund's transfer, dividend disbursing and shareholder servicing agent. FSC receives asset-based fees of .06% and .03% of average net assets for each Fund's Investor Class and Fidelity Advantage Class, respectively. Under the expense contract, each Investor Class pays transfer agent fees at an annual rate of .03%, and each Fidelity Advantage Class pays no transfer agent fees. FSC pays for typesetting, printing and mailing of shareholder reports, except proxy statements.

7. Committed Line of Credit.

Certain Funds participate with other funds managed by FMR in a $4.2 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro rata portion of the line of credit, which is reflected in Miscellaneous Expense on the Statement of Operations, and is as follows:

Spartan Total Market Index

$ 11,203

Spartan Extended Market Index

6,064

Spartan International Index

6,751

During the period, there were no borrowings on this line of credit.

Annual Report

8. Security Lending.

Certain Funds lend portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, each applicable Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Funds and any additional required collateral is delivered to the Funds on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. The value of loaned securities and cash collateral at period end are disclosed on each applicable Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less fees and expenses associated with the loan, plus any premium payments that may be received on the loan of certain types of securities. Security lending income is presented on each applicable Fund's Statement of Operations as a component of income from Fidelity Central Funds.

9. Expense Reductions.

FMR voluntarily agreed to reimburse Spartan International Index to the extent annual operating expenses exceeded certain levels of average net assets as noted in the table below. Some expenses, for example interest expense, including commitment fees, are excluded from this reimbursement.

Spartan International Index

Expense
Limitations

Reimbursement
from adviser

Investor Class

.10%

$ 2,163,626

Fidelity Advantage Class

.07%

890,681

In addition, through arrangements with each applicable Fund's custodian and transfer agent, credits realized as a result of uninvested cash balances were used to reduce each applicable Fund's expenses as noted in the table below.

Transfer Agent
expense reduction

Management
fee reduction

Spartan Total Market Index

$ 80,190

$ 23,803

Spartan Extended Market Index

98,910

37,392

Spartan International Index

96,708

61

10. Other.

The Funds' organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Funds. In the normal course of business, the Funds may also enter into contracts that provide general indemnifications. The Funds' maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Funds. The risk of material loss from such claims is considered remote.

11. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

Years ended February 28,

2007

2006 A

Spartan Total Market Index

From net investment income

Investor Class

$ 43,648,865

$ 31,243,077

Fidelity Advantage Class

30,793,009

18,990,028

Total

$ 74,441,874

$ 50,233,105

Spartan Extended Market Index

From net investment income

Investor Class

$ 20,181,573

$ 13,602,704

Fidelity Advantage Class

9,493,047

4,565,268

Total

$ 29,674,620

$ 18,167,972

From net realized gain

Investor Class

$ 48,524,471

$ 3,889,725

Fidelity Advantage Class

22,055,793

1,563,288

Total

$ 70,580,264

$ 5,453,013

Annual Report

Notes to Financial Statements - continued

11. Distributions to Shareholders - continued

Years ended February 28,

2007

2006A

Spartan International Index

From net investment income

Investor Class

$ 49,155,215

$ 20,816,606

Fidelity Advantage Class

20,035,753

7,207,732

Total

$ 69,190,968

$ 28,024,338

From net realized gain

Investor Class

$ 4,966,961

$ 2,603,383

Fidelity Advantage Class

1,988,345

-

Total

$ 6,955,306

$ 2,603,383

A Distributions for Advantage Class are for the period October 14, 2005 (commencement of sale of shares) to February 28, 2006.

12. Share Transactions.

Transactions for each class of shares were as follows:

Shares

Dollars

Years ended February 28,

Years ended February 28,

2007

2006A

2007

2006A

Spartan Total Market Index

Investor Class

Shares sold

61,659,939

27,503,962

$ 2,385,031,078

$ 929,047,540

Initial Conversions to Advantage Class

-

(39,428,740)

-

(1,303,157,204)

Reinvestment of distributions

1,085,592

859,861

42,218,085

29,592,057

Shares redeemed

(18,335,114)

(20,608,817)

(695,873,695)

(709,055,002)

Net increase (decrease)

44,410,417

(31,673,734)

$ 1,731,375,468

$ (1,053,572,609)

Fidelity Advantage Class

Shares sold

27,013,377

11,299,949

$ 1,028,002,320

$ 395,534,563

Initial Conversions to Advantage Class

-

39,428,740

-

1,303,157,204

Reinvestment of distributions

709,350

482,273

27,494,213

16,976,010

Shares redeemed

(8,576,937)

(2,614,502)

(321,568,759)

(92,318,292)

Net increase (decrease)

19,145,790

48,596,460

$ 733,927,774

$ 1,623,349,485

Spartan Extended Market Index

Investor Class

Shares sold

21,662,729

19,799,986

$ 822,154,397

$ 666,017,298

Initial Conversions to Advantage Class

-

(14,548,461)

-

(474,291,836)

Reinvestment of distributions

1,758,028

491,415

66,893,025

16,969,419

Shares redeemed

(11,799,411)

(11,262,719)

(439,720,539)

(377,629,738)

Net increase (decrease)

11,621,346

(5,519,779)

$ 449,326,883

$ (168,934,857)

Fidelity Advantage Class

Shares sold

9,862,555

3,542,936

$ 372,527,489

$ 125,830,995

Initial Conversions to Advantage Class

-

14,548,461

-

474,291,836

Reinvestment of distributions

750,569

160,809

28,567,756

5,658,853

Shares redeemed

(3,835,191)

(1,024,689)

(142,627,009)

(36,199,962)

Net increase (decrease)

6,777,933

17,227,517

$ 258,468,236

$ 569,581,722

Spartan International Index

Investor Class

Shares sold

50,335,556

24,024,661

$ 2,126,472,096

$ 818,982,803

Initial Conversions to Advantage Class

-

(11,894,813)

-

(403,343,187)

Reinvestment of distributions

1,200,505

636,980

51,946,571

22,219,480

Shares redeemed

(13,858,952)

(10,588,847)

(578,762,039)

(359,116,578)

Net increase (decrease)

37,677,109

2,177,981

$ 1,599,656,628

$ 78,742,518

Fidelity Advantage Class

Shares sold

17,807,784

5,248,631

$ 752,516,500

$ 189,741,573

Initial Conversions to Advantage Class

-

11,894,813

-

403,343,187

Reinvestment of distributions

441,375

174,574

19,084,741

6,256,729

Shares redeemed

(3,352,494)

(1,486,864)

(139,495,360)

(55,064,939)

Net increase (decrease)

14,896,665

15,831,154

$ 632,105,881

$ 544,276,550

A Share transactions for Advantage Class are for the period October 14, 2005 (commencement of sale of shares) to February 28, 2006.

Annual Report

Report of Independent Registered Public Accounting Firm

To the Trustees of Fidelity Concord Street Trust and the Shareholders of Spartan Total Market Index Fund, Spartan Extended Market Index Fund and Spartan International Index Fund:

In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Spartan Total Market Index Fund, Spartan Extended Market Index Fund and Spartan International Index Fund (funds of Fidelity Concord Street Trust) at February 28, 2007, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fidelity Concord Street Trust's management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at February 28, 2007 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

/s/ PricewaterhouseCoopers LLP

PricewaterhouseCoopers LLP

Boston, Massachusetts
April 23, 2007

Annual Report

Trustees and Officers

The Trustees, Member of the Advisory Board, and executive officers of the trust and funds, as applicable, are listed below. The Board of Trustees governs each fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee each fund's activities, review contractual arrangements with companies that provide services to each fund, and review each fund's performance. Each of the Trustees oversees 349 funds advised by FMR or an affiliate.

The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) (Independent Trustee), shall retire not later than the last day of the calendar year in which his or her 72nd birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. The executive officers and Advisory Board Member hold office without limit in time, except that any officer and Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.

The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544.

Interested Trustees*:

Correspondence intended for each Trustee who is an interested person may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.

Name, Age; Principal Occupation

Edward C. Johnson 3d (76)

Year of Election or Appointment: 1987

Mr. Johnson is Chairman of the Board of Trustees. Mr. Johnson serves as President (2006-present), Chief Executive Officer, Chairman, and a Director of FMR Corp.; Chairman and a Director of FMR; Chairman and a Director of Fidelity Research & Analysis Company (FRAC); Chairman and a Director of Fidelity Investments Money Management, Inc.; and Chairman (2001-present) and a Director of FMR Co., Inc. In addition, Mr. Johnson serves as Chairman and Director of Fidelity International Limited (FIL).

Robert L. Reynolds (54)

Year of Election or Appointment: 2003

Mr. Reynolds is President and a Director of FMR (2005-present), Fidelity Investments Money Management, Inc. (2005-present), and FMR Co., Inc. (2005-present). Mr. Reynolds also serves as Vice Chairman (2006-present), a Director (2003-present), and Chief Operating Officer of FMR Corp. and a Director of Strategic Advisers, Inc. (2005-present). He also serves on the Board at Fidelity Investments Canada, Ltd.

* Trustees have been determined to be "Interested Trustees" by virtue of, among other things, their affiliation with the trust or various entities under common control with FMR.

Independent Trustees:

Correspondence intended for each Independent Trustee (that is, the Trustees other than the Interested Trustees) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.

Name, Age; Principal Occupation

Dennis J. Dirks (58)

Year of Election or Appointment: 2005

Prior to his retirement in May 2003, Mr. Dirks was Chief Operating Officer and a member of the Board of The Depository Trust & Clearing Corporation (DTCC) (1999-2003). He also served as President, Chief Operating Officer, and Board member of The Depository Trust Company (DTC) (1999-2003) and President and Board member of the National Securities Clearing Corporation (NSCC) (1999-2003). In addition, Mr. Dirks served as Chief Executive Officer and Board member of the Government Securities Clearing Corporation (2001-2003) and Chief Executive Officer and Board member of the Mortgage-Backed Securities Clearing Corporation (2001-2003). Mr. Dirks also serves as a Trustee and a member of the Finance Committee of Manhattan College (2005-present) and a Trustee and a member of the Finance Committee of AHRC of Nassau County (2006-present).

Albert R. Gamper, Jr. (64)

Year of Election or Appointment: 2006

Prior to his retirement in December 2004, Mr. Gamper served as Chairman of the Board of CIT Group Inc. (commercial finance). During his tenure with CIT Group Inc. Mr. Gamper served in numerous senior management positions, including Chairman (1987-
1989; 1999-2001; 2002-2004), Chief Executive Officer (1987-2004), and President (1989-2002). He currently serves as a member of the Board of Directors of Public Service Enterprise Group (utilities, 2001-present), Chairman of the Board of Governors, Rutgers University (2004-present), and Chairman of the Board of Saint Barnabas Health Care System.

George H. Heilmeier (70)

Year of Election or Appointment: 2004

Dr. Heilmeier is Chairman Emeritus of Telcordia Technologies (communication software and systems), where prior to his retirement, he served as company Chairman and Chief Executive Officer. He currently serves on the Boards of Directors of The Mitre Corporation (systems engineering and information technology support for the government), and HRL Laboratories (private research and development, 2004-present). He is Chairman of the General Motors Science & Technology Advisory Board and a Life Fellow of the Institute of Electrical and Electronics Engineers (IEEE). Dr. Heilmeier is a member of the Defense Science Board and the National Security Agency Advisory Board. He is also a member of the National Academy of Engineering, the American Academy of Arts and Sciences, and the Board of Overseers of the School of Engineering and Applied Science of the University of Pennsylvania. Previously, Dr. Heilmeier served as a Director of TRW Inc. (automotive, space, defense, and information technology, 1992-2002), Compaq (1994-2002), Automatic Data Processing, Inc. (ADP) (technology-based business outsourcing, 1995-2002), INET Technologies Inc. (telecommunications network surveillance, 2001-2004), and Teletech Holdings (customer management services). He is the recipient of the 2005 Kyoto Prize in Advanced Technology for his invention of the liquid crystal display, and a member of the Consumer Electronics Hall of Fame.

James H. Keyes (66)

Year of Election or Appointment: 2007

Prior to his retirement in 2003, Mr. Keyes was Chairman, President, and Chief Executive Officer of Johnson Controls, Inc. (automotive supplier, 1993-2003). He currently serves as a member of the boards of LSI Logic Corporation (semiconductor technologies), Navistar International Corporation (manufacture and sale of trucks, buses, and diesel engines, 2002-present), and Pitney Bowes, Inc. (integrated mail, messaging, and document management solutions).

Marie L. Knowles (60)

Year of Election or Appointment: 2001

Prior to Ms. Knowles' retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996-2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company. She served as a Director of ARCO from 1996 to 1998. She currently serves as a Director of Phelps Dodge Corporation (copper mining and manufacturing) and McKesson Corporation (healthcare service, 2002-present). Ms. Knowles is a Trustee of the Brookings Institution and the Catalina Island Conservancy and also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California.

Ned C. Lautenbach (63)

Year of Election or Appointment: 2000

Mr. Lautenbach is Chairman of the Independent Trustees (2006-present). Mr. Lautenbach has been a partner of Clayton, Dubilier & Rice, Inc. (private equity investment firm) since September 1998. Previously, Mr. Lautenbach was with the International Business Machines Corporation (IBM) from 1968 until his retirement in 1998. Mr. Lautenbach serves as a Director of Sony Corporation (2006-present) and Eaton Corporation (diversified industrial) as well as the Philharmonic Center for the Arts in Naples, Florida. He also is a member of the Board of Trustees of Fairfield University (2005-present), as well as a member of the Council on Foreign Relations.

Cornelia M. Small (62)

Year of Election or Appointment: 2005

Ms. Small is a member (2000-present) and Chairperson (2002-present) of the Investment Committee, and a member (2002-
present) of the Board of Trustees of Smith College. Previously, she served as Chief Investment Officer (1999-2000), Director of Global Equity Investments (1996-1999), and a member of the Board of Directors of Scudder, Stevens & Clark (1990-1997) and Scudder Kemper Investments (1997-1999). In addition, Ms. Small served as Co-Chair (2000-2003) of the Annual Fund for the Fletcher School of Law and Diplomacy.

William S. Stavropoulos (67)

Year of Election or Appointment: 2001

Mr. Stavropoulos is Chairman Emeritus of the Board of Directors of The Dow Chemical Company. Since joining The Dow Chemical Company in 1967, Mr. Stavropoulos served in numerous senior management positions, including President (1993-2000; 2002-
2003), CEO (1995-2000; 2002-2004), and Chairman of the Executive Committee (2000-2004). Currently, he is a Director of NCR Corporation (data warehousing and technology solutions), Chemical Financial Corporation, Maersk Inc. (industrial conglomerate, 2002-present), Tyco International, Inc. (multinational manufacturing and services, 2007-present), and a member of the Advisory Board for Metalmark Capital (private equity investment firm, 2005-present). He is a special advisor to Clayton, Dubilier & Rice, Inc., a private equity investment firm. He also serves as a member of the Board of Trustees of the American Enterprise Institute for Public Policy Research. In addition, Mr. Stavropoulos is a member of The Business Council, J.P. Morgan International Council and the University of Notre Dame Advisory Council for the College of Science.

Kenneth L. Wolfe (68)

Year of Election or Appointment: 2005

Prior to his retirement in 2001, Mr. Wolfe was Chairman and Chief Executive Officer of Hershey Foods Corporation (1993-2001). He currently serves as a member of the boards of Adelphia Communications Corporation (2003-present), Bausch & Lomb, Inc., and Revlon Inc. (2004-present).

Advisory Board Member and Executive Officers:

Correspondence intended for each executive officer and Mr. Lynch may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.

Name, Age; Principal Occupation

Peter S. Lynch (63)

Year of Election or Appointment: 2003

Member of the Advisory Board of Fidelity Concord Street Trust. Mr. Lynch is Vice Chairman and a Director of FMR, and Vice Chairman (2001-present) and a Director of FMR Co., Inc. Previously, Mr. Lynch served as a Trustee of the Fidelity funds (1990-2003). In addition, he serves as a Trustee of Boston College and as the Chairman of the Inner-City Scholarship Fund.

Kimberley H. Monasterio (43)

Year of Election or Appointment: 2007

President and Treasurer of Spartan Extended Market Index, Spartan International Index, and Spartan Total Market Index. Ms. Monasterio also serves as President and Treasurer of other Fidelity funds (2007-present) and is an employee of FMR (2004-present). Previously, Ms. Monasterio served as Deputy Treasurer of the Fidelity funds (2004-2006). Before joining Fidelity Investments, Ms. Monasterio served as Treasurer (2000-2004) and Chief Financial Officer (2002-2004) of the Franklin Templeton Funds and Senior Vice President of Franklin Templeton Services, LLC (2000-2004).

Dwight D. Churchill (53)

Year of Election or Appointment: 2005

Vice President of Spartan Extended Market Index, Spartan International Index, and Spartan Total Market Index. Mr. Churchill also serves as Vice President of certain Equity Funds (2005-present). Mr. Churchill is Executive Vice President of FMR (2005-present) and FMR Co., Inc. (2005-present). Previously, Mr. Churchill served as Senior Vice President of Fidelity Investments Money Management, Inc. (2005-2006), Head of Fidelity's Fixed-Income Division (2000-2005), Vice President of Fidelity's Money Market Funds (2000-2005), Vice President of Fidelity's Bond Funds, and Senior Vice President of FMR.

Eric D. Roiter (58)

Year of Election or Appointment: 1998

Secretary of Spartan Extended Market Index, Spartan International Index, and Spartan Total Market Index. He also serves as Secretary of other Fidelity funds; Vice President, General Counsel, and Secretary of FMR Co., Inc. (2001-present) and FMR; Assistant Secretary of Fidelity Management & Research (U.K.) Inc. (2001-present), Fidelity Research & Analysis Company (2001-present), and Fidelity Investments Money Management, Inc. (2001-present). Mr. Roiter is an Adjunct Member, Faculty of Law, at Boston College Law School (2003-present). Previously, Mr. Roiter served as Vice President and Secretary of Fidelity Distributors Corporation (FDC) (1998-2005).

Scott C. Goebel (39)

Year of Election or Appointment: 2007

Assistant Secretary of Spartan Extended Market Index, Spartan International Index, and Spartan Total Market Index. Mr. Goebel also serves as Assistant Secretary of other Fidelity funds (2007-present), Vice President and Secretary of FDC (2006-present), and is an employee of FMR.

R. Stephen Ganis (40)

Year of Election or Appointment: 2006

Anti-Money Laundering (AML) officer of Spartan Extended Market Index, Spartan International Index, and Spartan Total Market Index. Mr. Ganis also serves as AML officer of other Fidelity funds (2006-present) and FMR Corp. (2003-present). Before joining Fidelity Investments, Mr. Ganis practiced law at Goodwin Procter, LLP (2000-2002).

Joseph B. Hollis (58)

Year of Election or Appointment: 2006

Chief Financial Officer of Spartan Extended Market Index, Spartan International Index, and Spartan Total Market Index. Mr. Hollis also serves as Chief Financial Officer of other Fidelity funds. Mr. Hollis is President of Fidelity Pricing and Cash Management Services (FPCMS) (2005-present). Mr. Hollis also serves as President and Director of Fidelity Service Company, Inc. (2006-present). Previously, Mr. Hollis served as Senior Vice President of Cash Management Services (1999-2002) and Investment Management Operations (2002-2005).

Kenneth A. Rathgeber (59)

Year of Election or Appointment: 2004

Chief Compliance Officer of Spartan Extended Market Index, Spartan International Index, and Spartan Total Market Index. Mr. Rathgeber also serves as Chief Compliance Officer of other Fidelity funds (2004-present) and Executive Vice President of Risk Oversight for Fidelity Investments (2002-present). He is Chief Compliance Officer of FMR (2005-present), FMR Co., Inc. (2005-
present), Fidelity Management & Research (U.K.) Inc. (2005-present), Fidelity Research & Analysis Company (2005-present), Fidelity Investments Money Management, Inc. (2005-present), and Strategic Advisers, Inc. (2005-present). Previously, Mr. Rathgeber served as Executive Vice President and Chief Operating Officer for Fidelity Investments Institutional Services Company, Inc. (1998-2002).

Bryan A. Mehrmann (45)

Year of Election or Appointment: 2005

Deputy Treasurer of Spartan Extended Market Index, Spartan International Index, and Spartan Total Market Index. Mr. Mehrmann also serves as Deputy Treasurer of other Fidelity funds (2005-present) and is an employee of FMR. Previously, Mr. Mehrmann served as Vice President of Fidelity Investments Institutional Services Group (FIIS)/Fidelity Investments Institutional Operations Corporation, Inc. (FIIOC) Client Services (1998-2004).

Kenneth B. Robins (37)

Year of Election or Appointment: 2005

Deputy Treasurer of Spartan Extended Market Index, Spartan International Index, and Spartan Total Market Index. Mr. Robins also serves as Deputy Treasurer of other Fidelity funds (2005-present) and is an employee of FMR (2004-present). Before joining Fidelity Investments, Mr. Robins worked at KPMG LLP, where he was a partner in KPMG's department of professional practice (2002-
2004) and a Senior Manager (1999-2000). In addition, Mr. Robins served as Assistant Chief Accountant, United States Securities and Exchange Commission (2000-2002).

Robert G. Byrnes (40)

Year of Election or Appointment: 2005

Assistant Treasurer of Spartan Extended Market Index, Spartan International Index, and Spartan Total Market Index. Mr. Byrnes also serves as Assistant Treasurer of other Fidelity funds (2005-present) and is an employee of FMR (2005-present). Previously, Mr. Byrnes served as Vice President of FPCMS (2003-2005). Before joining Fidelity Investments, Mr. Byrnes worked at Deutsche Asset Management where he served as Vice President of the Investment Operations Group (2000-2003).

Peter L. Lydecker (53)

Year of Election or Appointment: 2004

Assistant Treasurer of Spartan Extended Market Index, Spartan International Index, and Spartan Total Market Index. Mr. Lydecker also serves as Assistant Treasurer of other Fidelity funds (2004) and is an employee of FMR.

Gary W. Ryan (48)

Year of Election or Appointment: 2005

Assistant Treasurer of Spartan Extended Market Index, Spartan International Index, and Spartan Total Market Index. Mr. Ryan also serves as Assistant Treasurer of other Fidelity funds (2005-present) and is an employee of FMR (2005-present). Previously, Mr. Ryan served as Vice President of Fund Reporting in FPCMS (1999-2005).

Salvatore Schiavone (41)

Year of Election or Appointment: 2005

Assistant Treasurer of Spartan Extended Market Index, Spartan International Index, and Spartan Total Market Index. Mr. Schiavone also serves as Assistant Treasurer of other Fidelity funds (2005-present) and is an employee of FMR (2005-present). Before joining Fidelity Investments, Mr. Schiavone worked at Deutsche Asset Management, where he most recently served as Assistant Treasurer (2003-2005) of the Scudder Funds and Vice President and Head of Fund Reporting (1996-2003).

Annual Report

Distributions

The Board of Trustees of Spartan Extended Market Index voted to pay to shareholders of record at the opening of business on record date, the following distributions per share derived from capital gains realized from sales of portfolio securities, and dividends derived from net investment income:

Pay Date

Record Date

Dividends

Capital Gains

Spartan Extended Market Index

Investor Class

04/16/07

04/13/07

$0.07

$0.72

Fidelity Advantage Class

04/16/07

04/13/07

$0.0736

$0.72

The funds hereby designates as capital gain dividend the amounts noted below for the taxable year ended February 28, 2007, or, if subsequently determined to be different, the net capital gain of such year.

Fund

Spartan Extended Market Index

$99,302,353

A percentage of the dividends distributed during the fiscal year for the following funds was derived from interest on U.S. Government securities which is generally exempt from state income tax:

Spartan Total Market Index

Investor Class

.52%

Fidelity Advantage Class

.52%

Spartan Extended Market Index

Investor Class

.57%

Fidelity Advantage Class

.57%

Spartan International Index

Investor Class

.49%

Fidelity Advantage Class

.49%

A percentage of the dividends distributed during the fiscal year for the following funds qualifies for the dividends-received deduction for corporate shareholders:

Fund

April, 2006

December, 2006

Spartan Total Market Index

Investor Class

88%

94%

Fidelity Advantage Class

86%

92%

Spartan Extended Market Index

Investor Class

43%

58%

Fidelity Advantage Class

42%

57%

A percentage of the dividends distributed during the fiscal year for the following funds may be taken into account as a dividend for purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.

Fund

April, 2006

December, 2006

Spartan Total Market Index

Investor Class

93%

95%

Fidelity Advantage Class

90%

93%

Spartan Extended Market Index

Investor Class

46%

62%

Fidelity Advantage Class

45%

61%

Spartan International Index

Investor Class

100%

84%

Fidelity Advantage Class

97%

83%

Annual Report

The amounts per share which represent income derived from sources within, and taxes paid to, foreign countries or possessions of the United States are as follows:

Fund

Pay Date

Income

Taxes

Spartan International Index

Investor Class

04/10/06

$0.055

$0.0036

Investor Class

12/26/06

$0.356

$0.0538

Fidelity Advantage Class

04/10/06

$0.038

$0.0036

Fidelity Advantage Class

12/26/06

$0.414

$0.0538

The fund will notify shareholders in January 2008 of amounts for use in preparing 2007 income tax returns.

Annual Report

Investment Adviser

Fidelity Management & Research Company
Boston, MA

Investment Sub-Adviser

FMR Co., Inc.

Geode Capital Management, LLC

General Distributor

Fidelity Distributors Corporation
Boston, MA

Transfer and Service Agent

Fidelity Service Company, Inc.
Boston, MA

Custodian

Mellon Bank, N.A.
Pittsburgh, PA

The Fidelity Telephone Connection

Mutual Fund 24-Hour Service

Exchanges/Redemptions
and Account Assistance 1-800-544-6666

Product Information 1-800-544-6666

Retirement Accounts 1-800-544-4774
(8 a.m. - 9 p.m.)

TDD Service 1-800-544-0118
for the deaf and hearing impaired
(9 a.m. - 9 p.m. Eastern time)

Fidelity Automated Service
Telephone (FAST®) (automated graphic)    1-800-544-5555

(automated graphic)    Automated line for quickest service

SIF-UANNPRO-0407
1.790918.103

(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
82 Devonshire St., Boston, MA 02109
www.fidelity.com

Spartan®

U.S. Equity Index

Fund -

Investor Class

Fidelity Advantage Class

Annual Report

February 28, 2007

(2_fidelity_logos) (Registered_Trademark)

Contents

Chairman's Message

<Click Here>

Ned Johnson's message to shareholders.

Performance

<Click Here>

How the fund has done over time.

Management's Discussion

<Click Here>

The manager's review of fund performance, strategy and outlook.

Shareholder Expense Example

<Click Here>

An example of shareholder expenses.

Investment Changes

<Click Here>

A summary of major shifts in the fund's investments over the past six months.

Investments

<Click Here>

A complete list of the fund's investments with their market values.

Financial Statements

<Click Here>

Statements of assets and liabilities, operations, and changes in net assets,
as well as financial highlights.

Notes

<Click Here>

Notes to the financial statements.

Report of Independent Registered Public Accounting Firm

<Click Here>

Trustees and Officers

<Click Here>

Distributions

<Click Here>

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR Corp. or an affiliated company.

If additional copies of financial reports, prospectuses or historical account information are needed, or for more information on any Fidelity fund including charges and expenses, please call the appropriate number listed below or the number provided to your institutional or employer-sponsored retirement plan. Read the prospectus carefully before you invest or send money.
Retirement Plan Level Accounts
Corporate Clients 1-800-962-1375
"Not For Profit" Clients 1-800-343-0860
Financial and Other Institutions
Nationwide 1-800-221-5207
Other Investors 1-800-544-6666

Annual Report

This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.

A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent quarterly holdings report, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com/holdings.

NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE

Neither the fund nor Fidelity Distributors Corporation is a bank.

Annual Report

Chairman's Message

(photo_of_Edward_C_Johnson_3d)

Dear Shareholder:

Substantial single-day losses are not uncommon in the equity markets, and when they occur - as in late February - investors can be better served in the long term by buying good stocks at lower prices than by moving their money to the sidelines. While financial markets are always unpredictable, there are a number of time-tested principles that can put the historical odds in your favor.

One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There are tax advantages and cost benefits to consider as well. The more you sell, the more taxes you pay, and the more you trade, the higher the costs. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.

You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).

A third investment principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces unconstructive "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.

We invite you to contact us via the Internet, through our Investor Centers or over the phone. It is our privilege to provide you the information you need to make the investments that are right for you.

Sincerely,

/s/Edward C. Johnson 3d

Edward C. Johnson 3d

Annual Report

Performance: The Bottom Line

Average annual total return reflects the change in the value of an investment, assuming reinvestment of the class' dividend income and capital gains (the profits earned upon the sale of securities that have grown in value) and assuming a constant rate of performance each year. The $100,000 table and the fund's returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.

Average Annual Total Returns

Periods ended February 28, 2007

Past 1
year

Past 5
years

Past 10
years

Investor Class

11.90%

6.71%

7.48%

Fidelity Advantage Class A

11.93%

6.71%

7.48%

A The initial offering of Fidelity Advantage Class took place on October 14, 2005. Returns prior to October 14, 2005, are those of Investor Class.

$100,000 Over 10 Years

Let's say hypothetically that $100,000 was invested in Spartan® US Equity Index Fund - Investor Class on February 28, 1997. The chart shows how the value of your investment would have changed, and also shows how the Standard & Poor's 500SM Index performed over the same period.



Annual Report

Management's Discussion of Fund Performance

Comments from Jeffrey Adams, who oversees the Spartan® U.S. Equity Index Fund's investment management team as Head of Indexing for Geode Capital Management, LLC

A rosy year for stocks wilted just prior to the end of the 12-month period ending February 28, 2007. On the day prior to the period's close, the Dow Jones Industrial AverageSM plunged 416 points and the Standard & Poor's 500SM Index lost roughly 3.5% of its value, plummeting nearly 50 points and marking the benchmark's worst single-day performance since the day the market reopened after the 9/11 terrorist attacks. Though investors were obviously rattled by the development, it was only the 22nd-biggest decline for the S&P 500® in 20 years, and it could not overshadow how well stocks performed for the 12 months overall. For much of the past year, investors grew confident that the economy would not fall into a recession, and they bid up most broad-based stock indexes for six consecutive months from August through January. Overall for the year ending February 28, 2007, the S&P 500 was up 11.97%, the Dow advanced 14.24%, the small-cap Russell 2000® Index gained 9.87% and the NASDAQ Composite® Index rose 6.66%.

For the 12 months ending February 28, 2007, the fund's Investor Class and Fidelity Advantage Class shares gained 11.90% and 11.93%, respectively. This performance was in line with that of the Standard & Poor's 500 Index. The S&P 500's best performing sector was telecommunication services, followed by materials and utilities. No sector turned in negative results during the past year, although information technology gained only modestly, hurt by poor results from semiconductor-related companies. Energy giant Exxon Mobil continued to appreciate, as oil prices remained well above historical averages. Shares of communications equipment maker Cisco Systems rose on robust sales and profits. Telecommunications rivals AT&T and BellSouth both gained ground as well. The two companies, whose merger closed late in the period, turned in better-than-expected earnings. In financials, Bank of America was helped by favorable business trends and strong earnings growth. In contrast, computer and consumer electronics retailer Dell continued to struggle in the face of strong competition. The company responded by cutting prices, which in turn led to missed sales targets. In health care, biotechnology stock Amgen saw its shares slide late in the period after a study revealed problems with the company's top-selling product, anemia drug Aranesp. Another laggard was semiconductor maker Advanced Micro Devices, which found itself in an unprofitable pricing war with its chief rival, Intel.

The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.

Annual Report

Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2006 to February 28, 2007).

Actual Expenses

The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. An annual index fund fee of $10 that is charged once a year may apply for certain accounts with a value of less than $10,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. An annual index fund fee of $10 that is charged once a year may apply for certain accounts with a value of less than $10,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

Annual Report

Shareholder Expense Example - continued

Beginning
Account Value
September 1, 2006

Ending
Account Value
February 28, 2007

Expenses Paid
During Period*
September 1, 2006
to February 28, 2007

Investor Class

Actual

$ 1,000.00

$ 1,088.80

$ .52

Hypothetical A

$ 1,000.00

$ 1,024.30

$ .50

Fidelity Advantage Class

Actual

$ 1,000.00

$ 1,088.90

$ .36

Hypothetical A

$ 1,000.00

$ 1,024.45

$ .35

A 5% return per year before expenses

* Expenses are equal to each Class' annualized expense ratio (shown in the table below); multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

Annualized
Expense Ratio

Investor Class

.10%

Fidelity Advantage Class

.07%

Annual Report

Investment Changes

Top Ten Stocks as of February 28, 2007

% of fund's
net assets

% of fund's net assets
6 months ago

Exxon Mobil Corp.

3.2

3.4

General Electric Co.

2.8

3.0

Citigroup, Inc.

1.9

2.1

Microsoft Corp.

1.9

1.9

AT&T, Inc.

1.8

1.6

Bank of America Corp.

1.8

2.0

Procter & Gamble Co.

1.5

1.7

Johnson & Johnson

1.4

1.6

Pfizer, Inc.

1.4

1.7

Altria Group, Inc.

1.3

1.4

19.0

Market Sectors as of February 28, 2007

% of fund's
net assets

% of fund's net assets
6 months ago

Financials

21.3

21.5

Information Technology

14.6

14.9

Health Care

12.0

12.8

Industrials

10.6

10.6

Consumer Discretionary

10.5

9.7

Energy

9.5

9.8

Consumer Staples

9.1

9.8

Telecommunication Services

3.5

3.4

Utilities

3.5

3.5

Materials

3.1

2.9

Annual Report

Investments February 28, 2007

Showing Percentage of Net Assets

Common Stocks - 97.7%

Shares

Value (000s)

CONSUMER DISCRETIONARY - 10.5%

Auto Components - 0.2%

Johnson Controls, Inc.

413,587

$ 38,794

The Goodyear Tire & Rubber Co. (a)(d)

374,909

9,230

48,024

Automobiles - 0.4%

Ford Motor Co. (d)

3,990,162

31,602

General Motors Corp.

1,194,816

38,139

Harley-Davidson, Inc.

547,403

36,074

105,815

Distributors - 0.1%

Genuine Parts Co.

359,966

17,530

Diversified Consumer Services - 0.1%

Apollo Group, Inc. Class A (non-vtg.) (a)

295,625

13,980

H&R Block, Inc.

680,846

14,829

28,809

Hotels, Restaurants & Leisure - 1.6%

Carnival Corp. unit (d)

940,007

43,635

Darden Restaurants, Inc.

310,160

12,704

Harrah's Entertainment, Inc.

392,955

33,201

Hilton Hotels Corp.

816,693

28,829

International Game Technology

716,977

29,575

Marriott International, Inc. Class A

709,952

34,014

McDonald's Corp.

2,612,550

114,221

Starbucks Corp. (a)

1,597,141

49,352

Starwood Hotels & Resorts Worldwide, Inc.

447,840

29,468

Wendy's International, Inc.

201,941

6,480

Wyndham Worldwide Corp. (a)

418,557

14,733

Yum! Brands, Inc.

559,955

32,444

428,656

Household Durables - 0.6%

Black & Decker Corp.

143,702

12,110

Centex Corp.

250,726

11,624

D.R. Horton, Inc.

582,975

14,790

Fortune Brands, Inc.

319,789

25,711

Harman International Industries, Inc.

137,868

13,671

KB Home (d)

165,897

8,228

Leggett & Platt, Inc.

378,099

9,006

Lennar Corp. Class A

291,230

14,340

Newell Rubbermaid, Inc.

585,566

17,930

Common Stocks - continued

Shares

Value (000s)

CONSUMER DISCRETIONARY - continued

Household Durables - continued

Pulte Homes, Inc.

446,366

$ 13,195

Snap-On, Inc.

123,317

6,178

The Stanley Works

171,749

9,544

Whirlpool Corp.

165,575

14,605

170,932

Internet & Catalog Retail - 0.2%

Amazon.com, Inc. (a)(d)

652,620

25,544

IAC/InterActiveCorp (a)

471,490

18,482

44,026

Leisure Equipment & Products - 0.2%

Brunswick Corp.

193,939

6,332

Eastman Kodak Co. (d)

606,891

14,493

Hasbro, Inc.

335,518

9,492

Mattel, Inc.

805,699

20,956

51,273

Media - 3.5%

CBS Corp. Class B

1,650,915

50,105

Clear Channel Communications, Inc.

1,043,111

37,740

Comcast Corp. Class A (d)

6,594,426

169,609

Dow Jones & Co., Inc. (d)

137,453

4,957

E.W. Scripps Co. Class A

176,017

7,982

Gannett Co., Inc.

494,975

30,322

Interpublic Group of Companies, Inc. (d)

931,970

11,734

McGraw-Hill Companies, Inc.

748,224

48,343

Meredith Corp.

81,826

4,784

News Corp. Class A

4,944,575

111,401

Omnicom Group, Inc.

361,015

37,405

The DIRECTV Group, Inc. (a)

1,628,379

36,736

The New York Times Co. Class A

303,746

7,512

The Walt Disney Co.

4,369,477

149,698

Time Warner, Inc.

8,433,589

171,624

Tribune Co.

402,726

12,094

Univision Communications, Inc. Class A (a)

532,894

19,184

Viacom, Inc. Class B (non-vtg.) (a)

1,477,155

57,668

968,898

Multiline Retail - 1.2%

Big Lots, Inc. (a)(d)

231,297

5,789

Dillard's, Inc. Class A

128,600

4,295

Dollar General Corp.

659,148

11,126

Common Stocks - continued

Shares

Value (000s)

CONSUMER DISCRETIONARY - continued

Multiline Retail - continued

Family Dollar Stores, Inc.

320,317

$ 9,280

Federated Department Stores, Inc.

1,109,380

49,545

JCPenney Co., Inc.

475,258

38,548

Kohl's Corp. (a)

690,809

47,659

Nordstrom, Inc.

483,251

25,656

Sears Holdings Corp. (a)(d)

175,558

31,644

Target Corp.

1,814,342

111,636

335,178

Specialty Retail - 2.0%

AutoNation, Inc. (a)

315,990

6,939

AutoZone, Inc. (a)

106,944

13,399

Bed Bath & Beyond, Inc. (a)

597,136

23,820

Best Buy Co., Inc.

852,177

39,601

Circuit City Stores, Inc.

299,713

5,704

Gap, Inc. (d)

1,113,051

21,359

Home Depot, Inc.

4,311,204

170,724

Limited Brands, Inc.

722,514

19,999

Lowe's Companies, Inc.

3,216,784

104,738

Office Depot, Inc. (a)

588,120

19,620

OfficeMax, Inc.

157,326

8,165

RadioShack Corp.

286,918

7,164

Sherwin-Williams Co.

236,389

15,732

Staples, Inc.

1,526,512

39,720

Tiffany & Co., Inc.

285,912

12,449

TJX Companies, Inc.

961,366

26,438

535,571

Textiles, Apparel & Luxury Goods - 0.4%

Coach, Inc. (a)

776,271

36,640

Jones Apparel Group, Inc.

232,902

7,667

Liz Claiborne, Inc.

216,501

9,743

NIKE, Inc. Class B

397,200

41,495

Polo Ralph Lauren Corp. Class A

129,535

11,267

VF Corp.

188,877

15,074

121,886

TOTAL CONSUMER DISCRETIONARY

2,856,598

Common Stocks - continued

Shares

Value (000s)

CONSUMER STAPLES - 9.1%

Beverages - 2.0%

Anheuser-Busch Companies, Inc.

1,624,081

$ 79,710

Brown-Forman Corp. Class B (non-vtg.)

166,397

10,899

Coca-Cola Enterprises, Inc.

585,466

11,762

Constellation Brands, Inc. Class A (sub. vtg.)

443,782

10,411

Molson Coors Brewing Co. Class B

96,597

8,157

Pepsi Bottling Group, Inc.

289,164

8,964

PepsiCo, Inc.

3,468,787

219,054

The Coca-Cola Co.

4,307,468

201,073

550,030

Food & Staples Retailing - 2.2%

Costco Wholesale Corp.

968,060

54,105

CVS Corp.

1,739,733

54,645

Kroger Co.

1,515,512

38,903

Safeway, Inc.

936,442

32,373

SUPERVALU, Inc.

434,903

16,074

Sysco Corp.

1,305,752

43,038

Wal-Mart Stores, Inc.

5,194,758

250,907

Walgreen Co.

2,119,705

94,772

Whole Foods Market, Inc.

301,935

14,423

599,240

Food Products - 1.1%

Archer-Daniels-Midland Co. (d)

1,388,389

47,733

Campbell Soup Co.

460,073

18,785

ConAgra Foods, Inc.

1,076,369

27,157

Dean Foods Co. (a)

282,555

12,726

General Mills, Inc.

724,718

40,845

H.J. Heinz Co.

696,013

31,926

Hershey Co.

367,309

19,423

Kellogg Co.

530,118

26,463

McCormick & Co., Inc. (non-vtg.)

277,595

10,629

Sara Lee Corp.

1,577,628

25,968

Tyson Foods, Inc. Class A

532,250

9,714

Wm. Wrigley Jr. Co.

463,701

23,092

294,461

Household Products - 2.1%

Clorox Co.

320,703

20,320

Colgate-Palmolive Co.

1,086,467

73,184

Common Stocks - continued

Shares

Value (000s)

CONSUMER STAPLES - continued

Household Products - continued

Kimberly-Clark Corp.

968,141

$ 65,940

Procter & Gamble Co.

6,693,781

424,988

584,432

Personal Products - 0.2%

Avon Products, Inc.

939,080

34,427

Estee Lauder Companies, Inc. Class A

269,012

12,880

47,307

Tobacco - 1.5%

Altria Group, Inc.

4,427,408

373,142

Reynolds American, Inc.

362,173

22,111

UST, Inc.

339,882

19,734

414,987

TOTAL CONSUMER STAPLES

2,490,457

ENERGY - 9.5%

Energy Equipment & Services - 1.7%

Baker Hughes, Inc.

677,537

44,114

BJ Services Co.

619,260

16,590

ENSCO International, Inc.

320,591

16,065

Halliburton Co.

2,124,071

65,591

Nabors Industries Ltd.

632,350

18,945

National Oilwell Varco, Inc. (a)

370,736

25,818

Noble Corp.

286,399

20,111

Rowan Companies, Inc.

233,289

7,146

Schlumberger Ltd. (NY Shares)

2,488,901

156,303

Smith International, Inc.

421,198

17,269

Transocean, Inc. (a)

617,671

47,363

Weatherford International Ltd. (a)

717,616

28,812

464,127

Oil, Gas & Consumable Fuels - 7.8%

Anadarko Petroleum Corp.

971,181

39,071

Apache Corp.

695,863

47,687

Chesapeake Energy Corp. (d)

878,568

26,788

Chevron Corp.

4,605,068

315,954

ConocoPhillips

3,476,579

227,438

CONSOL Energy, Inc. (d)

385,771

13,760

Devon Energy Corp.

933,697

61,353

El Paso Corp.

1,490,089

21,427

Common Stocks - continued

Shares

Value (000s)

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

EOG Resources, Inc.

514,319

$ 34,840

Exxon Mobil Corp.

12,320,742

883,155

Hess Corp.

571,882

30,338

Kinder Morgan, Inc.

226,558

23,961

Marathon Oil Corp.

742,562

67,380

Murphy Oil Corp.

395,146

20,476

Occidental Petroleum Corp.

1,819,933

84,045

Peabody Energy Corp.

557,289

22,514

Spectra Energy Corp.

1,326,317

34,126

Sunoco, Inc.

260,076

16,780

Valero Energy Corp.

1,277,215

73,631

Williams Companies, Inc.

1,259,724

33,975

XTO Energy, Inc.

772,995

39,933

2,118,632

TOTAL ENERGY

2,582,759

FINANCIALS - 21.3%

Capital Markets - 3.7%

Ameriprise Financial, Inc.

511,131

29,881

Bank of New York Co., Inc.

1,614,313

65,573

Bear Stearns Companies, Inc.

247,812

37,727

Charles Schwab Corp.

2,160,713

39,930

E*TRADE Financial Corp.

901,908

20,825

Federated Investors, Inc. Class B (non-vtg.)

190,812

6,825

Franklin Resources, Inc.

352,146

41,338

Goldman Sachs Group, Inc.

899,542

181,348

Janus Capital Group, Inc. (d)

418,663

8,897

Legg Mason, Inc.

277,612

28,522

Lehman Brothers Holdings, Inc.

1,119,712

82,075

Mellon Financial Corp.

870,031

37,785

Merrill Lynch & Co., Inc.

1,867,328

156,258

Morgan Stanley

2,236,133

167,531

Northern Trust Corp.

396,021

23,880

State Street Corp.

701,486

45,954

T. Rowe Price Group, Inc.

556,916

25,930

1,000,279

Commercial Banks - 4.0%

BB&T Corp.

1,142,689

48,541

Comerica, Inc.

335,570

20,265

Common Stocks - continued

Shares

Value (000s)

FINANCIALS - continued

Commercial Banks - continued

Commerce Bancorp, Inc., New Jersey (d)

396,159

$ 13,240

Compass Bancshares, Inc.

274,258

18,927

Fifth Third Bancorp

1,178,877

47,485

First Horizon National Corp.

262,928

11,345

Huntington Bancshares, Inc.

501,980

11,621

KeyCorp

848,313

32,015

M&T Bank Corp.

163,648

19,625

Marshall & Ilsley Corp.

538,899

25,614

National City Corp.

1,334,148

50,498

PNC Financial Services Group, Inc.

620,659

45,501

Regions Financial Corp.

1,540,127

55,167

SunTrust Banks, Inc.

748,099

63,072

Synovus Financial Corp.

686,503

22,222

U.S. Bancorp, Delaware

3,713,362

132,418

Wachovia Corp.

4,026,355

222,939

Wells Fargo & Co.

7,131,501

247,463

Zions Bancorp

225,873

19,285

1,107,243

Consumer Finance - 0.9%

American Express Co.

2,545,005

144,734

Capital One Financial Corp. (d)

861,839

66,431

SLM Corp.

863,478

36,801

247,966

Diversified Financial Services - 5.4%

Bank of America Corp.

9,486,278

482,567

Chicago Mercantile Exchange Holdings, Inc. Class A

73,547

39,651

CIT Group, Inc.

418,894

23,655

Citigroup, Inc.

10,379,794

523,142

JPMorgan Chase & Co.

7,327,942

362,000

Moody's Corp.

496,489

32,133

1,463,148

Insurance - 4.7%

ACE Ltd.

687,713

38,622

AFLAC, Inc. (d)

1,044,606

49,305

Allstate Corp.

1,320,149

79,288

AMBAC Financial Group, Inc.

224,116

19,642

American International Group, Inc.

5,491,737

368,496

Aon Corp.

654,170

24,630

Cincinnati Financial Corp.

365,975

15,817

Common Stocks - continued

Shares

Value (000s)

FINANCIALS - continued

Insurance - continued

Genworth Financial, Inc. Class A (non-vtg.)

936,238

$ 33,115

Hartford Financial Services Group, Inc.

669,510

63,309

Lincoln National Corp.

606,545

41,336

Loews Corp.

965,278

41,932

Marsh & McLennan Companies, Inc.

1,164,208

34,251

MBIA, Inc.

284,780

18,929

MetLife, Inc.

1,605,943

101,415

Principal Financial Group, Inc.

569,854

34,698

Progressive Corp.

1,609,015

36,895

Prudential Financial, Inc.

1,007,631

91,634

SAFECO Corp.

222,342

14,835

The Chubb Corp.

869,575

44,392

The Travelers Companies, Inc.

1,457,617

73,989

Torchmark Corp.

207,177

13,243

UnumProvident Corp.

723,597

15,492

XL Capital Ltd. Class A

381,449

27,083

1,282,348

Real Estate Investment Trusts - 1.1%

Apartment Investment & Management Co. Class A

203,829

11,997

Archstone-Smith Trust

461,313

26,023

AvalonBay Communities, Inc.

166,043

22,841

Boston Properties, Inc.

246,783

29,639

Equity Residential (SBI)

617,112

31,343

Kimco Realty Corp.

477,464

23,997

Plum Creek Timber Co., Inc.

373,975

14,832

ProLogis Trust

522,716

34,567

Public Storage, Inc.

258,827

26,211

Simon Property Group, Inc. (d)

467,460

52,701

Vornado Realty Trust

272,771

34,696

308,847

Real Estate Management & Development - 0.1%

CB Richard Ellis Group, Inc. Class A (a)

390,333

13,006

Realogy Corp. (a)

452,855

13,395

26,401

Thrifts & Mortgage Finance - 1.4%

Countrywide Financial Corp.

1,230,435

47,101

Fannie Mae

2,059,734

116,849

Freddie Mac

1,463,917

93,954

Hudson City Bancorp, Inc.

1,061,907

14,230

Common Stocks - continued

Shares

Value (000s)

FINANCIALS - continued

Thrifts & Mortgage Finance - continued

MGIC Investment Corp. (d)

175,367

$ 10,583

Sovereign Bancorp, Inc.

759,234

19,186

Washington Mutual, Inc.

1,996,716

86,019

387,922

TOTAL FINANCIALS

5,824,154

HEALTH CARE - 12.0%

Biotechnology - 1.3%

Amgen, Inc. (a)

2,464,192

158,349

Biogen Idec, Inc. (a)

712,158

32,182

Celgene Corp. (a)

786,759

41,934

Genzyme Corp. (a)

555,266

34,315

Gilead Sciences, Inc. (a)

971,354

69,510

MedImmune, Inc. (a)

505,309

16,124

352,414

Health Care Equipment & Supplies - 1.7%

Bausch & Lomb, Inc.

113,584

5,936

Baxter International, Inc.

1,382,497

69,139

Becton, Dickinson & Co.

521,004

39,591

Biomet, Inc.

517,375

21,900

Boston Scientific Corp. (a)

2,490,916

40,627

C.R. Bard, Inc.

217,545

17,360

Hospira, Inc. (a)

329,139

12,596

Medtronic, Inc.

2,431,692

122,460

St. Jude Medical, Inc. (a)

746,679

29,606

Stryker Corp.

627,883

38,941

Varian Medical Systems, Inc. (a)

272,912

12,540

Zimmer Holdings, Inc. (a)

504,131

42,513

453,209

Health Care Providers & Services - 2.5%

Aetna, Inc.

1,102,690

48,816

AmerisourceBergen Corp.

405,775

21,372

Cardinal Health, Inc.

855,561

59,966

Caremark Rx, Inc.

900,864

55,484

CIGNA Corp.

216,667

30,875

Coventry Health Care, Inc. (a)

336,628

18,319

Express Scripts, Inc. (a)

286,102

21,575

Health Management Associates, Inc. Class A

508,169

10,143

Common Stocks - continued

Shares

Value (000s)

HEALTH CARE - continued

Health Care Providers & Services - continued

Humana, Inc. (a)

351,146

$ 21,013

Laboratory Corp. of America Holdings (a)

264,899

21,126

Manor Care, Inc. (d)

156,217

8,370

McKesson Corp.

625,215

34,862

Medco Health Solutions, Inc. (a)

619,843

41,908

Patterson Companies, Inc. (a)

293,531

9,798

Quest Diagnostics, Inc.

337,879

17,239

Tenet Healthcare Corp. (a)(d)

995,628

6,800

UnitedHealth Group, Inc.

2,845,439

148,532

WellPoint, Inc. (a)

1,309,752

103,981

680,179

Health Care Technology - 0.0%

IMS Health, Inc.

419,192

12,106

Life Sciences Tools & Services - 0.3%

Applera Corp. - Applied Biosystems Group

387,008

11,951

Millipore Corp. (a)(d)

112,817

8,069

PerkinElmer, Inc.

259,764

6,156

Thermo Fisher Scientific, Inc. (a)

862,050

39,025

Waters Corp. (a)

214,380

11,632

76,833

Pharmaceuticals - 6.2%

Abbott Laboratories (d)

3,242,298

177,094

Allergan, Inc.

324,800

36,283

Barr Pharmaceuticals, Inc. (a)

224,737

11,911

Bristol-Myers Squibb Co.

4,154,582

109,639

Eli Lilly & Co.

2,079,652

109,473

Forest Laboratories, Inc. (a)(d)

669,059

34,630

Johnson & Johnson

6,124,695

386,162

King Pharmaceuticals, Inc. (a)(d)

513,566

9,578

Merck & Co., Inc.

4,586,099

202,522

Mylan Laboratories, Inc.

447,647

9,477

Pfizer, Inc.

15,231,584

380,180

Schering-Plough Corp.

3,131,832

73,535

Watson Pharmaceuticals, Inc. (a)

216,456

5,706

Wyeth

2,844,812

139,168

1,685,358

TOTAL HEALTH CARE

3,260,099

Common Stocks - continued

Shares

Value (000s)

INDUSTRIALS - 10.6%

Aerospace & Defense - 2.4%

General Dynamics Corp.

854,784

$ 65,357

Goodrich Corp.

263,552

12,927

Honeywell International, Inc.

1,724,823

80,101

L-3 Communications Holdings, Inc.

263,917

22,987

Lockheed Martin Corp.

752,180

73,172

Northrop Grumman Corp.

729,661

52,426

Raytheon Co.

939,252

50,297

Rockwell Collins, Inc.

353,206

23,128

The Boeing Co.

1,670,375

145,774

United Technologies Corp.

2,120,146

139,145

665,314

Air Freight & Logistics - 0.9%

FedEx Corp.

647,742

73,959

United Parcel Service, Inc. Class B

2,267,788

159,176

233,135

Airlines - 0.1%

Southwest Airlines Co.

1,672,695

25,308

Building Products - 0.2%

American Standard Companies, Inc.

366,435

19,417

Masco Corp.

832,721

24,857

44,274

Commercial Services & Supplies - 0.5%

Allied Waste Industries, Inc.

536,381

6,876

Avery Dennison Corp.

199,421

13,254

Cintas Corp.

288,297

11,641

Equifax, Inc.

264,322

10,235

Monster Worldwide, Inc. (a)

271,170

13,521

Pitney Bowes, Inc.

468,707

22,362

R.R. Donnelley & Sons Co.

457,976

16,570

Robert Half International, Inc.

353,997

13,831

Waste Management, Inc.

1,130,180

38,483

146,773

Construction & Engineering - 0.1%

Fluor Corp.

185,987

15,710

Electrical Equipment - 0.4%

Cooper Industries Ltd. Class A

192,041

17,618

Common Stocks - continued

Shares

Value (000s)

INDUSTRIALS - continued

Electrical Equipment - continued

Emerson Electric Co.

1,694,949

$ 73,035

Rockwell Automation, Inc.

359,479

22,320

112,973

Industrial Conglomerates - 3.8%

3M Co.

1,555,524

115,233

General Electric Co.

21,775,177

760,389

Textron, Inc.

264,994

24,456

Tyco International Ltd. (d)

4,201,319

129,527

1,029,605

Machinery - 1.5%

Caterpillar, Inc.

1,374,210

88,527

Cummins, Inc.

110,818

14,925

Danaher Corp.

500,659

35,867

Deere & Co.

488,389

52,951

Dover Corp.

431,280

20,611

Eaton Corp.

314,752

25,498

Illinois Tool Works, Inc.

886,144

45,814

Ingersoll-Rand Co. Ltd. Class A

647,682

28,051

ITT Corp.

390,162

23,105

PACCAR, Inc.

524,544

36,451

Pall Corp.

258,587

8,942

Parker Hannifin Corp.

249,101

20,523

Terex Corp.

214,756

14,140

415,405

Road & Rail - 0.7%

Burlington Northern Santa Fe Corp.

758,801

60,089

CSX Corp.

919,293

34,630

Norfolk Southern Corp.

838,408

39,741

Ryder System, Inc.

128,283

6,599

Union Pacific Corp.

569,766

56,196

197,255

Trading Companies & Distributors - 0.0%

W.W. Grainger, Inc.

154,486

11,919

TOTAL INDUSTRIALS

2,897,671

INFORMATION TECHNOLOGY - 14.6%

Communications Equipment - 2.6%

ADC Telecommunications, Inc. (a)

247,643

4,066

Common Stocks - continued

Shares

Value (000s)

INFORMATION TECHNOLOGY - continued

Communications Equipment - continued

Avaya, Inc. (a)

959,269

$ 11,780

Ciena Corp. (a)(d)

178,372

5,613

Cisco Systems, Inc. (a)

12,828,214

332,764

Corning, Inc. (a)

3,304,483

68,171

JDS Uniphase Corp. (a)

445,905

7,228

Juniper Networks, Inc. (a)(d)

1,195,110

22,600

Motorola, Inc.

5,106,734

94,577

QUALCOMM, Inc.

3,490,907

140,614

Tellabs, Inc. (a)

933,239

9,780

697,193

Computers & Peripherals - 3.6%

Apple, Inc. (a)

1,796,641

152,014

Dell, Inc. (a)(d)

4,798,632

109,649

EMC Corp. (a)(d)

4,652,427

64,901

Hewlett-Packard Co.

5,785,866

227,847

International Business Machines Corp.

3,182,069

295,964

Lexmark International, Inc. Class A (a)(d)

206,867

12,528

NCR Corp. (a)

376,436

17,391

Network Appliance, Inc. (a)

789,710

30,538

QLogic Corp.

333,015

5,858

SanDisk Corp. (a)(d)

475,375

17,313

Sun Microsystems, Inc. (a)

7,434,834

45,576

979,579

Electronic Equipment & Instruments - 0.2%

Agilent Technologies, Inc. (a)

863,307

27,384

Jabil Circuit, Inc.

390,146

10,425

Molex, Inc.

299,481

8,784

Sanmina-SCI Corp. (a)

1,125,572

4,176

Solectron Corp. (a)

1,931,947

6,221

Tektronix, Inc.

174,248

4,985

61,975

Internet Software & Services - 1.4%

eBay, Inc. (a)

2,444,317

78,365

Google, Inc. Class A (sub. vtg.) (a)

452,715

203,473

VeriSign, Inc. (a)

517,840

13,101

Yahoo!, Inc. (a)

2,586,033

79,805

374,744

IT Services - 1.1%

Affiliated Computer Services, Inc. Class A (a)

208,949

10,859

Common Stocks - continued

Shares

Value (000s)

INFORMATION TECHNOLOGY - continued

IT Services - continued

Automatic Data Processing, Inc.

1,163,121

$ 57,912

Cognizant Technology Solutions Corp. Class A (a)

299,528

27,017

Computer Sciences Corp. (a)

362,748

19,200

Convergys Corp. (a)

291,072

7,486

Electronic Data Systems Corp.

1,092,602

30,615

Fidelity National Information Services, Inc.

341,966

15,713

First Data Corp.

1,617,695

41,300

Fiserv, Inc. (a)

365,823

19,374

Paychex, Inc.

715,234

29,060

Sabre Holdings Corp. Class A

279,633

9,041

The Western Union Co.

1,619,087

35,086

Unisys Corp. (a)

727,898

6,180

308,843

Office Electronics - 0.1%

Xerox Corp.

2,039,085

35,215

Semiconductors & Semiconductor Equipment - 2.4%

Advanced Micro Devices, Inc. (a)(d)

1,158,893

17,453

Altera Corp. (a)

764,390

16,136

Analog Devices, Inc.

722,452

26,189

Applied Materials, Inc. (d)

2,933,993

54,484

Broadcom Corp. Class A (a)

990,643

33,771

Intel Corp.

12,180,290

241,779

KLA-Tencor Corp.

420,556

21,760

Linear Technology Corp. (d)

631,518

20,960

LSI Logic Corp. (a)(d)

846,276

8,581

Maxim Integrated Products, Inc.

677,437

22,186

Micron Technology, Inc. (a)

1,593,639

18,901

National Semiconductor Corp.

609,570

15,617

Novellus Systems, Inc. (a)(d)

261,105

8,408

NVIDIA Corp. (d)

751,064

23,283

PMC-Sierra, Inc. (a)(d)

443,226

2,992

Teradyne, Inc. (a)

400,896

6,462

Texas Instruments, Inc.

3,134,605

97,047

Xilinx, Inc.

710,274

18,197

654,206

Software - 3.2%

Adobe Systems, Inc. (a)

1,232,275

48,367

Autodesk, Inc. (a)

489,451

20,141

BMC Software, Inc. (a)

433,239

13,370

Common Stocks - continued

Shares

Value (000s)

INFORMATION TECHNOLOGY - continued

Software - continued

CA, Inc.

867,572

$ 22,600

Citrix Systems, Inc. (a)

381,474

12,283

Compuware Corp. (a)

684,937

6,267

Electronic Arts, Inc. (a)

651,674

32,857

Intuit, Inc. (a)

736,512

21,734

Microsoft Corp.

18,274,248

514,786

Novell, Inc. (a)

716,138

4,741

Oracle Corp. (a)

8,450,820

138,847

Symantec Corp. (a)

1,981,500

33,884

869,877

TOTAL INFORMATION TECHNOLOGY

3,981,632

MATERIALS - 3.1%

Chemicals - 1.5%

Air Products & Chemicals, Inc.

465,451

34,825

Ashland, Inc.

120,772

7,920

Dow Chemical Co.

2,017,780

88,379

E.I. du Pont de Nemours & Co.

1,943,025

98,609

Eastman Chemical Co.

173,822

10,276

Ecolab, Inc.

376,687

15,934

Hercules, Inc. (a)

239,889

4,836

International Flavors & Fragrances, Inc.

164,830

7,714

Monsanto Co.

1,147,687

60,472

PPG Industries, Inc.

349,105

23,128

Praxair, Inc.

682,103

42,079

Rohm & Haas Co.

299,920

15,854

Sigma Aldrich Corp.

278,588

11,422

421,448

Construction Materials - 0.1%

Vulcan Materials Co. (d)

199,465

23,236

Containers & Packaging - 0.2%

Ball Corp.

220,084

10,190

Bemis Co., Inc.

221,459

7,337

Pactiv Corp. (a)(d)

281,098

9,051

Sealed Air Corp.

170,305

10,974

Temple-Inland, Inc.

225,996

13,515

51,067

Common Stocks - continued

Shares

Value (000s)

MATERIALS - continued

Metals & Mining - 1.0%

Alcoa, Inc.

1,831,691

$ 61,197

Allegheny Technologies, Inc.

212,773

21,799

Freeport-McMoRan Copper & Gold, Inc. Class B (d)

415,997

23,882

Newmont Mining Corp.

951,062

42,864

Nucor Corp.

638,200

38,847

Phelps Dodge Corp.

430,913

53,825

United States Steel Corp.

250,269

22,179

264,593

Paper & Forest Products - 0.3%

International Paper Co.

961,092

34,609

MeadWestvaco Corp.

382,745

11,655

Weyerhaeuser Co. (d)

499,658

42,906

89,170

TOTAL MATERIALS

849,514

TELECOMMUNICATION SERVICES - 3.5%

Diversified Telecommunication Services - 2.9%

AT&T, Inc.

13,223,395

486,621

CenturyTel, Inc.

242,480

10,851

Citizens Communications Co.

679,983

10,247

Embarq Corp.

315,787

17,479

Qwest Communications International, Inc. (a)

3,396,955

30,165

Verizon Communications, Inc.

6,167,281

230,841

Windstream Corp.

1,007,161

15,158

801,362

Wireless Telecommunication Services - 0.6%

ALLTEL Corp.

789,273

47,822

Sprint Nextel Corp.

6,115,292

117,903

165,725

TOTAL TELECOMMUNICATION SERVICES

967,087

UTILITIES - 3.5%

Electric Utilities - 1.8%

Allegheny Energy, Inc. (a)

349,107

16,492

American Electric Power Co., Inc.

835,621

37,486

Duke Energy Corp.

2,652,635

52,230

Edison International

688,253

32,293

Common Stocks - continued

Shares

Value (000s)

UTILITIES - continued

Electric Utilities - continued

Entergy Corp.

436,980

$ 43,130

Exelon Corp.

1,417,348

93,446

FirstEnergy Corp.

674,301

42,191

FPL Group, Inc.

853,945

50,443

Pinnacle West Capital Corp.

210,922

10,002

PPL Corp.

806,033

30,645

Progress Energy, Inc.

536,979

26,237

Southern Co.

1,568,989

56,170

490,765

Gas Utilities - 0.0%

Nicor, Inc.

94,447

4,396

Questar Corp.

181,386

15,262

19,658

Independent Power Producers & Energy Traders - 0.5%

AES Corp. (a)

1,403,052

29,913

Constellation Energy Group, Inc.

380,255

29,915

Dynegy, Inc. Class A (a)

799,657

6,565

TXU Corp.

970,115

64,173

130,566

Multi-Utilities - 1.2%

Ameren Corp.

435,715

22,757

CenterPoint Energy, Inc. (d)

660,852

11,790

CMS Energy Corp.

469,880

8,199

Consolidated Edison, Inc. (d)

542,460

26,353

Dominion Resources, Inc.

747,205

63,908

DTE Energy Co.

375,939

17,406

Integrys Energy Group, Inc.

158,421

8,830

KeySpan Corp.

370,273

15,196

NiSource, Inc.

576,703

13,720

PG&E Corp. (d)

736,838

34,204

Public Service Enterprise Group, Inc.

532,762

39,904

Sempra Energy

553,823

33,257

Common Stocks - continued

Shares

Value (000s)

UTILITIES - continued

Multi-Utilities - continued

TECO Energy, Inc.

441,920

$ 7,411

Xcel Energy, Inc. (d)

859,511

20,310

323,245

TOTAL UTILITIES

964,234

TOTAL COMMON STOCKS

(Cost $17,918,924)

26,674,205

U.S. Treasury Obligations - 0.1%

Principal Amount (000s)

U.S. Treasury Bills, yield at date of purchase 4.86% to 5.07% 3/22/07 (e)
(Cost $27,418)

$ 27,500

27,418

Money Market Funds - 4.3%

Shares

Fidelity Cash Central Fund, 5.35% (b)

542,570,729

542,571

Fidelity Securities Lending Cash Central Fund, 5.34% (b)(c)

632,954,839

632,955

TOTAL MONEY MARKET FUNDS

(Cost $1,175,526)

1,175,526

TOTAL INVESTMENT PORTFOLIO - 102.1%

(Cost $19,121,868)

27,877,149

NET OTHER ASSETS - (2.1)%

(583,413)

NET ASSETS - 100%

$ 27,293,736

Futures Contracts

Expiration Date

Underlying Face Amount
at Value
(000s)

Unrealized
Appreciation/
(Depreciation) (000s)

Purchased

Equity Index Contracts

1,752 S&P 500 Index Contracts

March 2007

$ 617,098

$ (9,324)

The face value of futures purchased as a percentage of net assets - 2.3%

Legend

(a) Non-income producing

(b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request.

(c) Investment made with cash collateral received from securities on loan.

(d) Security or a portion of the security is on loan at period end.

(e) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $26,690,000.

Affiliated Central Funds

Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:

Fund

Income earned
(Amounts in thousands)

Fidelity Cash Central Fund

$ 14,646

Fidelity Securities Lending Cash Central Fund

1,130

Total

$ 15,776

Income Tax Information

At February 28, 2007, the fund had a capital loss carryforward of approximately $54,313,000 of which $13,351,000 and $40,962,000 will expire on February 28, 2011 and February 29, 2012, respectively.

See accompanying notes which are an integral part of the financial statements.

Annual Report

Financial Statements

Statement of Assets and Liabilities

Amounts in thousands (except per-share amounts)

February 28, 2007

Assets

Investment in securities, at value (including securities loaned of $621,558) - See accompanying schedule:

Unaffiliated issuers (cost $17,946,342)

$ 26,701,623

Fidelity Central Funds (cost $1,175,526)

1,175,526

Total Investments (cost $19,121,868)

$ 27,877,149

Receivable for fund shares sold

39,438

Dividends receivable

58,605

Distributions receivable from Fidelity Central Funds

2,183

Receivable for daily variation on futures contracts

6,104

Other receivables

424

Total assets

27,983,903

Liabilities

Payable to custodian bank

$ 4

Payable for fund shares redeemed

54,623

Accrued management fee

1,635

Other affiliated payables

950

Collateral on securities loaned, at value

632,955

Total liabilities

690,167

Net Assets

$ 27,293,736

Net Assets consist of:

Paid in capital

$ 18,644,195

Undistributed net investment income

91,080

Accumulated undistributed net realized gain (loss) on investments

(187,496)

Net unrealized appreciation (depreciation) on investments

8,745,957

Net Assets

$ 27,293,736

Investor Class:
Net Asset Value, offering price and redemption price per share ($22,205,742 ÷ 444,679 shares)

$ 49.94

Fidelity Advantage Class:
Net Asset Value, offering price and redemption price per share ($5,087,994 ÷ 101,884 shares)

$ 49.94

See accompanying notes which are an integral part of the financial statements.

Annual Report

Financial Statements - continued

Statement of Operations

Amounts in thousands

Year ended February 28, 2007

Investment Income

Dividends

$ 479,447

Interest

902

Income from Fidelity Central Funds

15,776

Total income

496,125

Expenses

Management fee

$ 17,772

Transfer agent fees

6,296

Independent trustees' compensation

90

Appreciation in deferred trustee compensation account

7

Interest

3

Miscellaneous

71

Total expenses before reductions

24,239

Expense reductions

(2,390)

21,849

Net investment income (loss)

474,276

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

Unaffiliated issuers

244,456

Futures contracts

34,846

Total net realized gain (loss)

279,302

Change in net unrealized appreciation (depreciation) on:

Investment securities

2,102,465

Futures contracts

(7,703)

Total change in net unrealized appreciation (depreciation)

2,094,762

Net gain (loss)

2,374,064

Net increase (decrease) in net assets resulting from operations

$ 2,848,340

See accompanying notes which are an integral part of the financial statements.

Annual Report

Statement of Changes in Net Assets

Amounts in thousands

Year ended
February 28,
2007

Year ended
February 28,
2006

Increase (Decrease) in Net Assets

Operations

Net investment income (loss)

$ 474,276

$ 401,604

Net realized gain (loss)

279,302

404,371

Change in net unrealized appreciation (depreciation)

2,094,762

1,047,822

Net increase (decrease) in net assets resulting
from operations

2,848,340

1,853,797

Distributions to shareholders from net investment income

(460,358)

(384,743)

Share transactions - net increase (decrease)

862,483

1,441,580

Total increase (decrease) in net assets

3,250,465

2,910,634

Net Assets

Beginning of period

24,043,271

21,132,637

End of period (including undistributed net investment income of $91,080 and undistributed net investment income of $77,121, respectively)

$ 27,293,736

$ 24,043,271

See accompanying notes which are an integral part of the financial statements.

Annual Report

Financial Highlights - Investor Class

Years ended February 28,

2007

2006

2005

2004 G

2003

Selected Per-Share Data

Net asset value, beginning of period

$ 45.45

$ 42.68

$ 40.67

$ 29.87

$ 39.26

Income from Investment Operations

Net investment income (loss) B

.88

.77

.77 E

.55

.51

Net realized and unrealized
gain (loss)

4.47

2.75

1.98

10.79

(9.39)

Total from investment operations

5.35

3.52

2.75

11.34

(8.88)

Distributions from net investment income

(.86)

(.75)

(.74)

(.54)

(.51)

Net asset value, end of period

$ 49.94

$ 45.45

$ 42.68

$ 40.67

$ 29.87

Total Return A

11.90%

8.36%

6.85%

38.29%

(22.79)%

Ratios to Average Net Assets C, F

Expenses before reductions

.10%

.10%

.40%

.40%

.39%

Expenses net of fee waivers,
if any

.10%

.10%

.14%

.19%

.19%

Expenses net of all reductions

.09%

.09%

.14%

.19%

.19%

Net investment income (loss)

1.87%

1.79%

1.91% E

1.55%

1.51%

Supplemental Data

Net assets, end of period
(in millions)

$ 22,206

$ 20,619

$ 21,133

$ 18,562

$ 12,349

Portfolio turnover rate D

7%

6%

5%

5%

6%

A Total returns would have been lower had certain expenses not been reduced during the periods shown.

B Calculated based on average shares outstanding during the period.

C Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

D Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

E Investment income per share reflects a special dividend which amounted to $.12 per share. Excluding the special dividend, the ratio of net investment income (loss) to average net assets would have been 1.61%.

F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

G For the year ended February 29.

See accompanying notes which are an integral part of the financial statements.

Annual Report

Financial Highlights - Fidelity Advantage Class

Years ended February 28,

2007

2006 G

Selected Per-Share Data

Net asset value, beginning of period

$ 45.45

$ 42.01

Income from Investment Operations

Net investment income (loss) D

.90

.33

Net realized and unrealized gain (loss)

4.46

3.33

Total from investment operations

5.36

3.66

Distributions from net investment income

(.87)

(.22)

Net asset value, end of period

$ 49.94

$ 45.45

Total Return B, C

11.93%

8.73%

Ratios to Average Net Assets E, H

Expenses before reductions

.07%

.07% A

Expenses net of fee waivers, if any

.07%

.07% A

Expenses net of all reductions

.06%

.07% A

Net investment income (loss)

1.89%

1.96% A

Supplemental Data

Net assets, end of period (in millions)

$ 5,088

$ 3,425

Portfolio turnover rate F

7%

6%

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower had certain expenses not been reduced during the periods shown.

D Calculated based on average shares outstanding during the period.

E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

G For the period October 14, 2005 (commencement of sale of shares) to February 28, 2006.

H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

See accompanying notes which are an integral part of the financial statements.

Annual Report

Notes to Financial Statements

For the period ended February 28, 2007

(Amounts in thousands except ratios)

1. Organization.

Spartan U.S. Equity Index Fund (the Fund) is a fund of Fidelity Concord Street Trust (the trust) and is authorized to issue an unlimited number of shares. The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.

The Fund offers Investor Class and Fidelity Advantage Class shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. The Fund offers conversion privileges between share classes to eligible shareholders. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent fees incurred and certain class-level expense reductions. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements.

2. Investments in Fidelity Central Funds.

The Fund may invest in Fidelity Central Funds which are open-end investment companies available only to other investment companies and accounts managed by Fidelity Management & Research Company (FMR) and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds as an investment of the Fund but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the EDGAR Database on the SEC's web site, www.sec.gov, or upon request.

The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM) an affiliate of FMR.

3. Significant Accounting Policies.

The following summarizes the significant accounting policies of the Fund:

Security Valuation. Investments are valued and net asset value (NAV) per share is calculated (NAV calculation) as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time. Wherever possible, the Fund uses independent pricing services approved by the Board of Trustees to value its investments.

Annual Report

3. Significant Accounting Policies - continued

Security Valuation - continued

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value.

When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. For example, when developments occur between the close of a market and the close of the NYSE that may materially affect the value of some or all of the securities, or when trading in a security is halted, those securities may be fair valued. Factors used in the determination of fair value may include monitoring news to identify significant market or security specific events such as changes in the value of U.S. securities markets, reviewing developments in foreign markets and evaluating the performance of ADRs, futures contracts and exchange-traded funds. Because the Fund's utilization of fair value pricing depends on market activity, the frequency with which fair value pricing is used cannot be predicted and may be utilized to a significant extent. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV for processing shareholder transactions includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund estimates the components of distributions received that may be considered

Annual Report

Notes to Financial Statements - continued

(Amounts in thousands except ratios)

3. Significant Accounting Policies - continued

Investment Transactions and Income - continued

return of capital distributions or capital gain distributions. Interest income and distributions from the Fidelity Central Funds are accrued as earned, with any distributions receivable as of period end included in Distributions receivable from Fidelity Central Funds. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities.

Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), Independent Trustees must defer receipt of a portion of, and may elect to defer receipt of an additional portion of, their annual compensation. Deferred amounts are invested in a cross-section of Fidelity funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements.

Distributions are recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles.

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.

Book-tax differences are primarily due to futures transactions, redemptions in kind, deferred trustees compensation, capital loss carryforwards, losses deferred due to wash sales and excise tax regulations.

Annual Report

3. Significant Accounting Policies - continued

Income Tax Information and Distributions to Shareholders - continued

The tax-basis components of distributable earnings and the federal tax cost as of period end were as follows:

Unrealized appreciation

$ 10,113,419

Unrealized depreciation

(1,568,381)

Net unrealized appreciation (depreciation)

8,545,038

Undistributed ordinary income

91,461

Capital loss carryforward

(54,313)

Cost for federal income tax purposes

$ 19,332,111

The tax character of distributions paid was as follows:

February 28, 2007

February 28, 2006

Ordinary Income

$ 460,358

$ 384,743

New Accounting Pronouncements. In July 2006, Financial Accounting Standards Board Interpretation No. 48, Accounting for Uncertainty in Income Taxes - an interpretation of FASB Statement 109 (FIN 48), was issued and is effective on the last business day of the semiannual reporting period for fiscal years beginning after December 15, 2006. FIN 48 sets forth a threshold for financial statement recognition, measurement and disclosure of a tax position taken or expected to be taken on a tax return. Management is currently evaluating the impact, if any, the adoption of FIN 48 will have on the Fund's net assets, results of operations and financial statement disclosures.

In addition, in September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact the adoption of SFAS 157 will have on the Fund's financial statement disclosures.

4. Operating Policies.

Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in

Annual Report

Notes to Financial Statements - continued

(Amounts in thousands except ratios)

4. Operating Policies - continued

Repurchase Agreements - continued

segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.

Futures Contracts. The Fund may use futures contracts to manage its exposure to the stock market. Buying futures tends to increase a fund's exposure to the underlying instrument, while selling futures tends to decrease a fund's exposure to the underlying instrument or hedge other fund investments. Upon entering into a futures contract, a fund is required to deposit with a clearing broker, no later than the following business day, an amount ("initial margin") equal to a certain percentage of the face value of the contract. The initial margin may be in the form of cash or securities and is transferred to a segregated account on settlement date. Subsequent payments ("variation margin") are made or received by a fund depending on the daily fluctuations in the value of the futures contract and are accounted for as unrealized gains or losses. Realized gains (losses) are recorded upon the expiration or closing of the futures contract. Securities deposited to meet margin requirements are identified in the Schedule of Investments. Futures contracts involve, to varying degrees, risk of loss in excess of any futures variation margin reflected in the Statement of Assets and Liabilities. The underlying face amount at value of any open futures contracts at period end is shown in the Schedule of Investments under the caption "Futures Contracts." This amount reflects each contract's exposure to the underlying instrument at period end. Losses may arise from changes in the value of the underlying instruments or if the counterparties do not perform under the contract's terms. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.

5. Purchases and Sales of Investments.

Purchases and sales of securities other than short-term securities and in-kind transactions aggregated $2,029,265 and $1,360,610, respectively.

Securities delivered through in-kind redemptions aggregated $310,023. Realized gain (loss) of $52,883 on securities delivered through in-kind redemptions is included in the accompanying Statement of Operations as realized gain or loss on investment securities and is not taxable to the Fund.

Annual Report

6. Fees and Other Transactions with Affiliates.

Management Fee and Expense Contract. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is based on an annual rate of .07% of average net assets. Under the management contract, FMR pays all other fund-level expenses, except the compensation of the independent Trustees and certain other expenses such as interest expense. In addition, under the expense contract, FMR pays class-level expenses of Investor Class and Fidelity Advantage Class so that total expenses do not exceed .10% and .07% of the class's average net assets, respectively, with certain exceptions.

Sub-Adviser. Geode Capital Management, LLC (Geode), serves as sub-adviser for the Fund. Geode provides discretionary investment advisory services to the Fund and is paid by FMR for providing these services.

Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the Fund's transfer, dividend disbursing and shareholder servicing agent. FIIOC receives asset-based fees of .06% and .03% of average net assets for the Investor Class and Fidelity Advantage Class, respectively. Under the expense contract, the Investor Class pays transfer agent fees at an annual rate of .03%, and the Fidelity Advantage Class pays no transfer agent fees. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements.

Interfund Lending Program. Pursuant to an Exemptive Order issued by the SEC, the Fund, along with other registered investment companies having management contracts with FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing the funds to borrow from, or lend money to, other participating affiliated funds. At period end, there were no interfund loans outstanding. The Fund's activity in this program during the period for which loans were outstanding was as follows:

Borrower or Lender

Average Daily
Loan Balance

Weighted Average
Interest Rate

Interest
Expense

Borrower

$ 6,065

5.04%

$ 3

7. Committed Line of Credit.

The Fund participates with other funds managed by FMR in a $4.2 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro rata portion of the line of credit, which amounted to $65 and is reflected in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.

Annual Report

Notes to Financial Statements - continued

(Amounts in thousands except ratios)

8. Expense Reductions.

Through arrangements with the Fund's custodian and each class' transfer agent, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's management fee by $83 and reduced Investor Class' and Advantage Class' transfer agent fee by $2,042 and $265, respectively.

9. Other.

The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.

10. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

Years ended February 28,

2007

2006 A

From net investment income

Investor Class

$ 384,752

$ 369,956

Fidelity Advantage Class

75,606

14,787

Total

$ 460,358

$ 384,743

A Distributions for Advantage Class are for the period October 14, 2005 (commencement of sale of shares) to February 28, 2006.

11. Share Transactions.

Transactions for each class of shares were as follows:

Shares
Years ended February 28,

Dollars
Years ended February 28,

2007

2006

2007

2006

Investor Class

Shares sold

97,925

141,141

$ 4,656,371

$ 6,118,456

Initial conversions to Advantage Class

-

(63,775)

-

(2,692,468)

Reinvestment of distributions

8,100

8,539

381,810

365,898

Shares redeemed

(114,995)

(127,344)

(5,446,297)

(5,559,036)

Net increase (decrease)

(8,970)

(41,439)

$ (408,116)

$ (1,767,650)

Annual Report

11. Share Transactions - continued

Shares
Years ended February 28,

Dollars
Years ended February 28,

2007

2006 A

2007

2006 A

Fidelity Advantage Class

Shares sold

45,458

17,452

$ 2,163,291

$ 780,271

Initial conversions from Investor Class

-

63,775

-

2,692,468

Reinvestment of distributions

1,537

316

72,714

14,187

Shares redeemed

(20,453)

(6,201)

(965,406)

(278,196)

Net increase (decrease)

26,542

75,342

$ 1,270,599

$ 3,209,230

A Share transactions for Advantage Class are for the period October 14, 2005 (commencement of sale of shares) to February 28, 2006.

Annual Report

Report of Independent Registered Public Accounting Firm

To the Trustees of Fidelity Concord Street Trust and the Shareholders of Spartan U.S. Equity Index Fund:

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Spartan U.S. Equity Index Fund (a fund of Fidelity Concord Street Trust) at February 28, 2007, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Spartan U.S. Equity Index Fund's management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at February 28, 2007 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

/s/ PricewaterhouseCoopers LLP

PricewaterhouseCoopers LLP

Boston, Massachusetts

April 23, 2007

Annual Report

Trustees and Officers

The Trustees, Member of the Advisory Board, and executive officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, and review the fund's performance. Each of the Trustees oversees 349 funds advised by FMR or an affiliate.

The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) (Independent Trustee), shall retire not later than the last day of the calendar year in which his or her 72nd birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. The executive officers and Advisory Board Member hold office without limit in time, except that any officer and Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.

The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544.

Interested Trustees*:

Correspondence intended for each Trustee who is an interested person may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.

Name, Age; Principal Occupation

Edward C. Johnson 3d (76)

Year of Election or Appointment: 1987

Mr. Johnson is Chairman of the Board of Trustees. Mr. Johnson serves as President (2006-present), Chief Executive Officer, Chairman, and a Director of FMR Corp.; Chairman and a Director of FMR; Chairman and a Director of Fidelity Research & Analysis Company (FRAC); Chairman and a Director of Fidelity Investments Money Management, Inc.; and Chairman (2001-present) and a Director of FMR Co., Inc. In addition, Mr. Johnson serves as Chairman and Director of Fidelity International Limited (FIL).

Robert L. Reynolds (54)

Year of Election or Appointment: 2003

Mr. Reynolds is President and a Director of FMR (2005-present), Fidelity Investments Money Management, Inc. (2005-present), and FMR Co., Inc. (2005-present). Mr. Reynolds also serves as Vice Chairman (2006-
present), a Director (2003-present), and Chief Operating Officer of FMR Corp. and a Director of Strategic Advisers, Inc. (2005-present). He also serves on the Board at Fidelity Investments Canada, Ltd.

* Trustees have been determined to be "Interested Trustees" by virtue of, among other things, their affiliation with the trust or various entities under common control with FMR.

Independent Trustees:

Correspondence intended for each Independent Trustee (that is, the Trustees other than the Interested Trustees) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.

Name, Age; Principal Occupation

Dennis J. Dirks (58)

Year of Election or Appointment: 2005

Prior to his retirement in May 2003, Mr. Dirks was Chief Operating Officer and a member of the Board of The Depository Trust & Clearing Corporation (DTCC) (1999-2003). He also served as President, Chief Operating Officer, and Board member of The Depository Trust Company (DTC) (1999-2003) and President and Board member of the National Securities Clearing Corporation (NSCC) (1999-2003). In addition, Mr. Dirks served as Chief Executive Officer and Board member of the Government Securities Clearing Corporation (2001-2003) and Chief Executive Officer and Board member of the Mortgage-Backed Securities Clearing Corporation (2001-2003). Mr. Dirks also serves as a Trustee and a member of the Finance Committee of Manhattan College (2005-
present) and a Trustee and a member of the Finance Committee of AHRC of Nassau County (2006-present).

Albert R. Gamper, Jr. (64)

Year of Election or Appointment: 2006

Prior to his retirement in December 2004, Mr. Gamper served as Chairman of the Board of CIT Group Inc. (commercial finance). During his tenure with CIT Group Inc. Mr. Gamper served in numerous senior management positions, including Chairman (1987-1989; 1999-2001; 2002-2004), Chief Executive Officer (1987-2004), and President (1989-2002). He currently serves as a member of the Board of Directors of Public Service Enterprise Group (utilities, 2001-present), Chairman of the Board of Governors, Rutgers University (2004-present), and Chairman of the Board of Saint Barnabas Health Care System.

George H. Heilmeier (70)

Year of Election or Appointment: 2004

Dr. Heilmeier is Chairman Emeritus of Telcordia Technologies (communication software and systems), where prior to his retirement, he served as company Chairman and Chief Executive Officer. He currently serves on the Boards of Directors of The Mitre Corporation (systems engineering and information technology support for the government), and HRL Laboratories (private research and development, 2004-present). He is Chairman of the General Motors Science & Technology Advisory Board and a Life Fellow of the Institute of Electrical and Electronics Engineers (IEEE). Dr. Heilmeier is a member of the Defense Science Board and the National Security Agency Advisory Board. He is also a member of the National Academy of Engineering, the American Academy of Arts and Sciences, and the Board of Overseers of the School of Engineering and Applied Science of the University of Pennsylvania. Previously, Dr. Heilmeier served as a Director of TRW Inc. (automotive, space, defense, and information technology, 1992-2002), Compaq (1994-2002), Automatic Data Processing, Inc. (ADP) (technology-based business outsourcing, 1995-2002), INET Technologies Inc. (telecommunications network surveillance, 2001-2004), and Teletech Holdings (customer management services). He is the recipient of the 2005 Kyoto Prize in Advanced Technology for his invention of the liquid crystal display, and a member of the Consumer Electronics Hall of Fame.

James H. Keyes (66)

Year of Election or Appointment: 2007

Prior to his retirement in 2003, Mr. Keyes was Chairman, President, and Chief Executive Officer of Johnson Controls, Inc. (automotive supplier, 1993-2003). He currently serves as a member of the boards of LSI Logic Corporation (semiconductor technologies), Navistar International Corporation (manufacture and sale of trucks, buses, and diesel engines, 2002-present), and Pitney Bowes, Inc. (integrated mail, messaging, and document management solutions).

Marie L. Knowles (60)

Year of Election or Appointment: 2001

Prior to Ms. Knowles' retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996-2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company. She served as a Director of ARCO from 1996 to 1998. She currently serves as a Director of Phelps Dodge Corporation (copper mining and manufacturing) and McKesson Corporation (healthcare service, 2002-present). Ms. Knowles is a Trustee of the Brookings Institution and the Catalina Island Conservancy and also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California.

Ned C. Lautenbach (63)

Year of Election or Appointment: 2000

Mr. Lautenbach is Chairman of the Independent Trustees (2006-present). Mr. Lautenbach has been a partner of Clayton, Dubilier & Rice, Inc. (private equity investment firm) since September 1998. Previously, Mr. Lautenbach was with the International Business Machines Corporation (IBM) from 1968 until his retirement in 1998. Mr. Lautenbach serves as a Director of Sony Corporation (2006-present) and Eaton Corporation (diversified industrial) as well as the Philharmonic Center for the Arts in Naples, Florida. He also is a member of the Board of Trustees of Fairfield University (2005-present), as well as a member of the Council on Foreign Relations.

Cornelia M. Small (62)

Year of Election or Appointment: 2005

Ms. Small is a member (2000-present) and Chairperson (2002-present) of the Investment Committee, and a member (2002-present) of the Board of Trustees of Smith College. Previously, she served as Chief Investment Officer (1999-2000), Director of Global Equity Investments (1996-1999), and a member of the Board of Directors of Scudder, Stevens & Clark (1990-1997) and Scudder Kemper Investments (1997-1999). In addition, Ms. Small served as Co-Chair (2000-2003) of the Annual Fund for the Fletcher School of Law and Diplomacy.

William S. Stavropoulos (67)

Year of Election or Appointment: 2001

Mr. Stavropoulos is Chairman Emeritus of the Board of Directors of The Dow Chemical Company. Since joining The Dow Chemical Company in 1967, Mr. Stavropoulos served in numerous senior management positions, including President (1993-2000; 2002-2003), CEO (1995-2000; 2002-2004), and Chairman of the Executive Committee (2000-2004). Currently, he is a Director of NCR Corporation (data warehousing and technology solutions), Chemical Financial Corporation, Maersk Inc. (industrial conglomerate, 2002-present), Tyco International, Inc. (multinational manufacturing and services, 2007-present), and a member of the Advisory Board for Metalmark Capital (private equity investment firm, 2005-present). He is a special advisor to Clayton, Dubilier & Rice, Inc., a private equity investment firm. He also serves as a member of the Board of Trustees of the American Enterprise Institute for Public Policy Research. In addition, Mr. Stavropoulos is a member of The Business Council, J.P. Morgan International Council and the University of Notre Dame Advisory Council for the College of Science.

Kenneth L. Wolfe (68)

Year of Election or Appointment: 2005

Prior to his retirement in 2001, Mr. Wolfe was Chairman and Chief Executive Officer of Hershey Foods Corporation (1993-2001). He currently serves as a member of the boards of Adelphia Communications Corporation (2003-present), Bausch & Lomb, Inc., and Revlon Inc. (2004-present).

Advisory Board Member and Executive Officers:

Correspondence intended for each executive officer and Mr. Lynch may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.

Name, Age; Principal Occupation

Peter S. Lynch (63)

Year of Election or Appointment: 2003

Member of the Advisory Board of Fidelity Concord Street Trust. Mr. Lynch is Vice Chairman and a Director of FMR, and Vice Chairman (2001-present) and a Director of FMR Co., Inc. Previously, Mr. Lynch served as a Trustee of the Fidelity funds (1990-2003). In addition, he serves as a Trustee of Boston College and as the Chairman of the Inner-City Scholarship Fund.

Kimberley H. Monasterio (43)

Year of Election or Appointment: 2007

President and Treasurer of Spartan U.S. Equity Index. Ms. Monasterio also serves as President and Treasurer of other Fidelity funds (2007-present) and is an employee of FMR (2004-present). Previously, Ms. Monasterio served as Deputy Treasurer of the Fidelity funds (2004-2006). Before joining Fidelity Investments, Ms. Monasterio served as Treasurer (2000-2004) and Chief Financial Officer (2002-2004) of the Franklin Templeton Funds and Senior Vice President of Franklin Templeton Services, LLC (2000-2004).

Dwight D. Churchill (53)

Year of Election or Appointment: 2005

Vice President of Spartan U.S. Equity Index. Mr. Churchill also serves as Vice President of certain Equity Funds (2005-present). Mr. Churchill is Executive Vice President of FMR (2005-present) and FMR Co., Inc. (2005-present). Previously, Mr. Churchill served as Senior Vice President of Fidelity Investments Money Management, Inc. (2005-2006), Head of Fidelity's Fixed-Income Division (2000-2005), Vice President of Fidelity's Money Market Funds (2000-2005), Vice President of Fidelity's Bond Funds, and Senior Vice President of FMR.

Eric D. Roiter (58)

Year of Election or Appointment: 1998

Secretary of Spartan U.S. Equity Index. He also serves as Secretary of other Fidelity funds; Vice President, General Counsel, and Secretary of FMR Co., Inc. (2001-present) and FMR; Assistant Secretary of Fidelity Management & Research (U.K.) Inc. (2001-present), Fidelity Research & Analysis Company (2001-present), and Fidelity Investments Money Management, Inc. (2001-present). Mr. Roiter is an Adjunct Member, Faculty of Law, at Boston College Law School (2003-present). Previously, Mr. Roiter served as Vice President and Secretary of Fidelity Distributors Corporation (FDC) (1998-2005).

Scott C. Goebel (38)

Year of Election or Appointment: 2007

Assistant Secretary of Spartan U.S. Equity Index. Mr. Goebel also serves as Assistant Secretary of other Fidelity funds (2007-present), Vice President and Secretary of FDC (2006-present), and is an employee of FMR.

R. Stephen Ganis (40)

Year of Election or Appointment: 2006

Anti-Money Laundering (AML) officer of Spartan U.S. Equity Index. Mr. Ganis also serves as AML officer of other Fidelity funds (2006-present) and FMR Corp. (2003-present). Before joining Fidelity Investments, Mr. Ganis practiced law at Goodwin Procter, LLP (2000-2002).

Joseph B. Hollis (58)

Year of Election or Appointment: 2006

Chief Financial Officer of Spartan U.S. Equity Index. Mr. Hollis also serves as Chief Financial Officer of other Fidelity funds. Mr. Hollis is President of Fidelity Pricing and Cash Management Services (FPCMS) (2005-present). Mr. Hollis also serves as President and Director of Fidelity Service Company, Inc. (2006-present). Previously, Mr. Hollis served as Senior Vice President of Cash Management Services (1999-2002) and Investment Management Operations (2002-2005).

Kenneth A. Rathgeber (59)

Year of Election or Appointment: 2004

Chief Compliance Officer of Spartan U.S. Equity Index. Mr. Rathgeber also serves as Chief Compliance Officer of other Fidelity funds (2004-present) and Executive Vice President of Risk Oversight for Fidelity Investments (2002-present). He is Chief Compliance Officer of FMR (2005-present), FMR Co., Inc. (2005-present), Fidelity Management & Research (U.K.) Inc. (2005-present), Fidelity Research & Analysis Company (2005-present), Fidelity Investments Money Management, Inc. (2005-present), and Strategic Advisers, Inc. (2005-present). Previously, Mr. Rathgeber served as Executive Vice President and Chief Operating Officer for Fidelity Investments Institutional Services Company, Inc. (1998-2002).

Bryan A. Mehrmann (45)

Year of Election or Appointment: 2005

Deputy Treasurer of Spartan U.S. Equity Index. Mr. Mehrmann also serves as Deputy Treasurer of other Fidelity funds (2005-present) and is an employee of FMR. Previously, Mr. Mehrmann served as Vice President of Fidelity Investments Institutional Services Group (FIIS)/Fidelity Investments Institutional Operations Corporation, Inc. (FIIOC) Client Services (1998-2004).

Kenneth B. Robins (37)

Year of Election or Appointment: 2005

Deputy Treasurer of Spartan U.S. Equity Index. Mr. Robins also serves as Deputy Treasurer of other Fidelity funds (2005-present) and is an employee of FMR (2004-present). Before joining Fidelity Investments, Mr. Robins worked at KPMG LLP, where he was a partner in KPMG's department of professional practice (2002-2004) and a Senior Manager (1999-2000). In addition, Mr. Robins served as Assistant Chief Accountant, United States Securities and Exchange Commission (2000-2002).

Robert G. Byrnes (40)

Year of Election or Appointment: 2005

Assistant Treasurer of Spartan U.S. Equity Index. Mr. Byrnes also serves as Assistant Treasurer of other Fidelity funds (2005-present) and is an employee of FMR (2005-present). Previously, Mr. Byrnes served as Vice President of FPCMS (2003-2005). Before joining Fidelity Investments, Mr. Byrnes worked at Deutsche Asset Management where he served as Vice President of the Investment Operations Group (2000-2003).

Peter L. Lydecker (53)

Year of Election or Appointment: 2004

Assistant Treasurer of Spartan U.S. Equity Index. Mr. Lydecker also serves as Assistant Treasurer of other Fidelity funds (2004) and is an employee of FMR.

Gary W. Ryan (48)

Year of Election or Appointment: 2005

Assistant Treasurer of Spartan U.S. Equity Index. Mr. Ryan also serves as Assistant Treasurer of other Fidelity funds (2005-present) and is an employee of FMR (2005-present). Previously, Mr. Ryan served as Vice President of Fund Reporting in FPCMS (1999-2005).

Salvatore Schiavone (41)

Year of Election or Appointment: 2005

Assistant Treasurer of Spartan U.S. Equity Index. Mr. Schiavone also serves as Assistant Treasurer of other Fidelity funds (2005-present) and is an employee of FMR (2005-present). Before joining Fidelity Investments, Mr. Schiavone worked at Deutsche Asset Management, where he most recently served as Assistant Treasurer (2003-2005) of the Scudder Funds and Vice President and Head of Fund Reporting (1996-2003).

Annual Report

Distributions

A total of 0.24% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.

Investor class designates 98%, 99%, 99%, and 99%; Advantage class designates 97%, 98%, 98%, and 98% of the dividends distributed in April, July, October, and December, respectively during the fiscal year as qualifying for the dividends-received deduction for corporate shareholders.

Investor class designates 100% of the dividends distributed during the fiscal year; Advantage class designates 100%, 99%, 99%, and 99% of each dividend distributed in April, July, October, and December respectively during the fiscal year as amounts which may be taken into account as a dividend for purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.

The fund will notify shareholders in January 2008 of amounts for use in preparing 2007 income tax returns.

Annual Report

Managing Your Investments

Fidelity offers several ways to conveniently manage your personal investments via your telephone or PC. You can access your account information, conduct trades and research your investments 24 hours a day.

By Phone

Fidelity Automated Service Telephone provides a single toll-free number to access account balances, positions, quotes and trading. It's easy to navigate the service, and on your first call, the system will help you create a personal identification number (PIN) for security.

(phone_graphic)

Fidelity Automated
Service Telephone (FAST®)
1-800-544-5555

Press

1   For mutual fund and brokerage trading.

2   For quotes.*

3   For account balances and holdings.

4   To review orders and mutual
fund activity.

5   To change your PIN.

*0   To speak to a Fidelity representative.

By PC

Fidelity's web site on the Internet provides a wide range of information, including daily financial news, fund performance, interactive planning tools and news about Fidelity products and services.

(computer_graphic)

Fidelity's Web Site
www.fidelity.com

* When you call the quotes line, please remember that a fund's yield and return will vary and, except for money market funds, share price will also vary. This means that you may have a gain or loss when you sell your shares. There is no assurance that money market funds will be able to maintain a stable $1 share price; an investment in a money market fund is not insured or guaranteed by the U.S. government. Total returns are historical and include changes in share price, reinvestment of dividends and capital gains, and the effects of any sales charges.

Annual Report

To Write Fidelity

We'll give your correspondence immediate attention and send you written confirmation upon completion of your request.

(letter_graphic)

Making Changes
To Your Account

(such as changing name, address, bank, etc.)

Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0002

(letter_graphic)

For Non-Retirement
Accounts

Buying shares

Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0003

Overnight Express
Fidelity Investments
Attn: Distribution Services
100 Crosby Parkway - KC1H
Covington, KY 41015

Selling shares

Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0035

Overnight Express
Fidelity Investments
Attn: Distribution Services
100 Crosby Parkway - KC1H
Covington, KY 41015

General Correspondence

Fidelity Investments
P.O. Box 500
Merrimack, NH 03054-0500

(letter_graphic)

For Retirement
Accounts

Buying shares

Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0003

Selling shares

Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0035

Overnight Express
Fidelity Investments
Attn: Distribution Services
100 Crosby Parkway - KC1H
Covington, KY 41015

General Correspondence

Fidelity Investments
P.O. Box 500
Merrimack, NH 03054-0500

Annual Report

To Visit Fidelity

For directions and hours,
please call 1-800-544-9797.

Arizona

7001 West Ray Road
Chandler, AZ

15445 N. Scottsdale Road
Scottsdale, AZ

California

815 East Birch Street
Brea, CA

1411 Chapin Avenue
Burlingame, CA

851 East Hamilton Avenue
Campbell, CA

19200 Von Karman Avenue
Irvine, CA

601 Larkspur Landing Circle
Larkspur, CA

10100 Santa Monica Blvd.
Los Angeles, CA

27101 Puerta Real
Mission Viejo, CA

73-575 El Paseo
Palm Desert, CA

251 University Avenue
Palo Alto, CA

123 South Lake Avenue
Pasadena, CA

16995 Bernardo Ctr. Drive
Rancho Bernardo, CA

1220 Roseville Parkway
Roseville, CA

1740 Arden Way
Sacramento, CA

7676 Hazard Center Drive
San Diego, CA

11943 El Camino Real
San Diego, CA

8 Montgomery Street
San Francisco, CA

3793 State Street
Santa Barbara, CA

1200 Wilshire Boulevard
Santa Monica, CA

21701 Hawthorne Boulevard
Torrance, CA

2001 North Main Street
Walnut Creek, CA

6300 Canoga Avenue
Woodland Hills, CA

Colorado

1625 Broadway
Denver, CO

9185 Westview Road
Lone Tree, CO

Connecticut

48 West Putnam Avenue
Greenwich, CT

265 Church Street
New Haven, CT

300 Atlantic Street
Stamford, CT

29 South Main Street
West Hartford, CT

Delaware

400 Delaware Avenue
Wilmington, DE

Florida

4400 N. Federal Highway
Boca Raton, FL

121 Alhambra Plaza
Coral Gables, FL

2948 N. Federal Highway
Ft. Lauderdale, FL

4671 Town Center Parkway
Jacksonville, FL

1907 West State Road 434
Longwood, FL

8880 Tamiami Trail, North
Naples, FL

3501 PGA Boulevard
Palm Beach Gardens, FL

3550 Tamiami Trail, South
Sarasota, FL

1502 N. Westshore Blvd.
Tampa, FL

2465 State Road 7
Wellington, FL

Georgia

3445 Peachtree Road, N.E.
Atlanta, GA

1000 Abernathy Road
Atlanta, GA

Illinois

One North LaSalle Street
Chicago, IL

875 North Michigan Ave.
Chicago, IL

1415 West 22nd Street
Oak Brook, IL

1572 East Golf Road
Schaumburg, IL

3232 Lake Avenue
Wilmette, IL

Indiana

4729 East 82nd Street
Indianapolis, IN

Kansas

5400 College Boulevard
Overland Park, KS

Maine

Three Canal Plaza
Portland, ME

Maryland

7315 Wisconsin Avenue
Bethesda, MD

One W. Pennsylvania Ave.
Towson, MD

Massachusetts

801 Boylston Street
Boston, MA

155 Congress Street
Boston, MA

300 Granite Street
Braintree, MA

44 Mall Road
Burlington, MA

238 Main Street
Cambridge, MA

405 Cochituate Road
Framingham, MA

416 Belmont Street
Worcester, MA

Annual Report

Michigan

500 E. Eisenhower Pkwy.
Ann Arbor, MI

280 Old N. Woodward Ave.
Birmingham, MI

43420 Grand River Avenue
Novi, MI

29155 Northwestern Hwy.
Southfield, MI

Minnesota

7600 France Avenue South
Edina, MN

Missouri

1524 South Lindbergh Blvd.
St. Louis, MO

Nevada

2225 Village Walk Drive
Henderson, NV

New Jersey

150 Essex Street
Millburn, NJ

56 South Street
Morristown, NJ

396 Route 17, North
Paramus, NJ

3518 Route 1 North
Princeton, NJ

530 Broad Street
Shrewsbury, NJ

New York

1055 Franklin Avenue
Garden City, NY

37 West Jericho Turnpike
Huntington Station, NY

1271 Avenue of the Americas
New York, NY

980 Madison Avenue
New York, NY

61 Broadway
New York, NY

350 Park Avenue
New York, NY

200 Fifth Avenue
New York, NY

733 Third Avenue
New York, NY

11 Penn Plaza
New York, NY

2070 Broadway
New York, NY

1075 Northern Blvd.
Roslyn, NY

799 Central Park Avenue
Scarsdale, NY

North Carolina

4611 Sharon Road
Charlotte, NC

7011 Fayetteville Road
Durham, NC

Ohio

3805 Edwards Road
Cincinnati, OH

1324 Polaris Parkway
Columbus, OH

28699 Chagrin Boulevard
Woodmere Village, OH

Oregon

7493 SW Bridgeport Road
Tigard, OR

Pennsylvania

600 West DeKalb Pike
King of Prussia, PA

1735 Market Street
Philadelphia, PA

12001 Perry Highway
Wexford, PA

Rhode Island

47 Providence Place
Providence, RI

Tennessee

6150 Poplar Avenue
Memphis, TN

Texas

10000 Research Boulevard
Austin, TX

4001 Northwest Parkway
Dallas, TX

12532 Memorial Drive
Houston, TX

2701 Drexel Drive
Houston, TX

6560 Fannin Street
Houston, TX

6500 N. MacArthur Blvd.
Irving, TX

6005 West Park Boulevard
Plano, TX

14100 San Pedro
San Antonio, TX

1576 East Southlake Blvd.
Southlake, TX

19740 IH 45 North
Spring, TX

Utah

279 West South Temple
Salt Lake City, UT

Virginia

1861 International Drive
McLean, VA

Washington

411 108th Avenue, N.E.
Bellevue, WA

1518 6th Avenue
Seattle, WA

Washington, DC

1900 K Street, N.W.
Washington, DC

Wisconsin

595 North Barker Road
Brookfield, WI

Fidelity Brokerage Services, Inc., 100 Summer St., Boston, MA 02110 Member NYSE/SIPC

Annual Report

Investment Adviser

Fidelity Management & Research Company

Boston, MA

Investment Sub-Adviser

FMR Co., Inc.

Geode Capital Management, LLC

General Distributor

Fidelity Distributors Corporation

Boston, MA

Transfer and Service Agents

Fidelity Investments Institutional

Operations Company, Inc.

Boston, MA

Fidelity Service Company, Inc.

Boston, MA

Custodian

Mellon Bank, N.A.

Pittsburgh, PA

UEI-UANN-0407
1.790915.103

(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
82 Devonshire St., Boston, MA 02109
www.fidelity.com

Spartan® Short-Term Treasury Bond Index Fund

Spartan Intermediate Treasury Bond Index Fund

Spartan Long-Term Treasury Bond Index Fund

Annual Report

February 28, 2007

(2_fidelity_logos) (Registered_Trademark)

Contents

Chairman's Message

<Click Here>

Ned Johnson's message to shareholders.

Management's Discussion

<Click Here>

The manager's review of fund performance, strategy and outlook.

Shareholder Expense Example

<Click Here>

An example of shareholder expenses.

Spartan Short-Term Treasury Bond Index Fund

<Click Here>

Performance

<Click Here>

Investment Changes

<Click Here>

Investments

<Click Here>

Financial Statements

Spartan Intermediate Treasury Bond Index Fund

<Click Here>

Performance

<Click Here>

Investment Changes

<Click Here>

Investments

<Click Here>

Financial Statements

Spartan Long-Term Treasury Bond Index Fund

<Click Here>

Performance

<Click Here>

Investment Changes

<Click Here>

Investments

<Click Here>

Financial Statements

Notes

<Click Here>

Notes to the financial statements

Report of Independent Registered Public Accounting Firm

<Click Here>

Trustees and Officers

<Click Here>

Distributions

<Click Here>

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR Corp. or an affiliated company.

Annual Report

This report and the financial statements contained herein are submitted for the general information of the shareholders of the funds. This report is not authorized for distribution to prospective investors in the funds unless preceded or accompanied by an effective prospectus.

A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent quarterly holdings report, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com/holdings.

NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE

Neither the funds nor Fidelity Distributors Corporation is a bank.

Annual Report

Chairman's Message

(photo_of_Edward_C_Johnson_3d)

Dear Shareholder:

Substantial single-day losses are not uncommon in the equity markets, and when they occur - as in late February - investors can be better served in the long term by buying good stocks at lower prices than by moving their money to the sidelines. While financial markets are always unpredictable, there are a number of time-tested principles that can put the historical odds in your favor.

One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There are tax advantages and cost benefits to consider as well. The more you sell, the more taxes you pay, and the more you trade, the higher the costs. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.

You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).

A third investment principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces unconstructive "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.

We invite you to contact us via the Internet, through our Investor Centers or over the phone. It is our privilege to provide you the information you need to make the investments that are right for you.

Sincerely,

/s/Edward C. Johnson 3d

Edward C. Johnson 3d

Annual Report

Management's Discussion of Fund Performance

Comments from William Irving, Portfolio Manager of Spartan® Treasury Bond Index Funds

Despite all of the uncertainty pervading the U.S. investment-grade bond market during the 12-month period ending February 28, 2007, investors generally held steady as demonstrated by the 5.54% gain for the Lehman Brothers® Aggregate Bond Index. Though that's well short of its historical average annual return, the market still showed resiliency despite a series of issues whose outcome could prove decisive to the near-term future of high-quality debt. Investors largely were focused on three pivotal questions: Would a sustained inverted yield curve result in a recession, as its history often suggests; would the Federal Reserve Board cut interest rates in early 2007, if at all; and would the equity markets finally relax after double-digit gains in three of the past four years? While optimism was high at times - particularly after the Fed suspended its two-year cycle of interest rate hikes - bonds turned negative in December and January on mixed signals about the economy's direction. However, investment-grade debt roared back in February, due partly to significant equity market upheaval late in the month.

For the 12 months ending February 28, 2007, the Investor and Fidelity Advantage Classes of the Spartan Short-Term Treasury Bond Index, Spartan Intermediate Treasury Bond Index and Spartan Long-Term Treasury Bond Index funds performed in line with their respective Lehman Brothers benchmarks. (For specific portfolio performance results, please refer to the performance section of this report.) In choosing investments for the funds, I sought to create portfolios that matched the characteristics of their respective Lehman Brothers benchmarks - including maturity and interest rate sensitivity - using a smaller number of representative securities. Investing in representative securities helped save costs for the funds. Furthermore, using them didn't materially compromise my ability to match the indexes' risk characteristics given the high correlation of the price movements of similar-maturity Treasuries. I emphasized what I viewed as attractively valued securities that shared characteristics with those in the funds' respective benchmarks, considering how the indexes are allocated among bonds with various sensitivities to interest rate changes, maturity, security structure and other factors. A significant amount of new money came into the Intermediate fund, but the challenge of investing this money was significantly reduced because the Treasury market is one of the largest and most liquid in the world.

The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.

Annual Report

Shareholder Expense Example

As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2006 to February 28, 2007).

Actual Expenses

The first line of the accompanying table for each class of each fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. An annual index fund fee of $10 that is charged once a year may apply for certain accounts with a value of less than $10,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table for each class of each fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. An annual index fund fee of $10 that is charged once a year may apply for certain accounts with a value of less than $10,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

Annual Report

Beginning
Account Value
September 1, 2006

Ending
Account Value
February 28, 2007

Expenses Paid
During Period*
September 1, 2006
to February 28, 2007

Spartan Short-Term Treasury Bond Index Fund

Investor Class

Actual

$ 1,000.00

$ 1,025.40

$ 1.00

HypotheticalA

$ 1,000.00

$ 1,023.80

$ 1.00

Fidelity Advantage Class

Actual

$ 1,000.00

$ 1,025.90

$ .50

HypotheticalA

$ 1,000.00

$ 1,024.30

$ .50

Spartan Intermediate Treasury Bond Index Fund

Investor Class

Actual

$ 1,000.00

$ 1,033.50

$ 1.01

HypotheticalA

$ 1,000.00

$ 1,023.80

$ 1.00

Fidelity Advantage Class

Actual

$ 1,000.00

$ 1,034.00

$ .50

HypotheticalA

$ 1,000.00

$ 1,024.30

$ .50

Spartan Long-Term Treasury Bond Index Fund

Investor Class

Actual

$ 1,000.00

$ 1,042.10

$ 1.01

HypotheticalA

$ 1,000.00

$ 1,023.80

$ 1.00

Fidelity Advantage Class

Actual

$ 1,000.00

$ 1,042.60

$ .51

HypotheticalA

$ 1,000.00

$ 1,024.30

$ .50

A 5% return per year before expenses

* Expenses are equal to each Class' annualized expense ratio (shown in the table below); multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

Annualized
Expense Ratio

Spartan Short-Term Treasury Bond Index Fund

Investor Class

.20%

Fidelity Advantage Class

.10%

Spartan Intermediate Treasury Bond Index Fund

Investor Class

.20%

Fidelity Advantage Class

.10%

Spartan Long-Term Treasury Bond Index Fund

Investor Class

.20%

Fidelity Advantage Class

.10%

Annual Report

Spartan Short-Term Treasury Bond Index Fund

Performance: The Bottom Line

Average annual total return reflects the change in the value of an investment, assuming reinvestment of the class' dividend income and capital gains (the profits earned upon the sale of securities that have grown in value) and assuming a constant rate of performance each year. The $10,000 table and the fund's returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.

Average Annual Total Returns

Periods ended February 28, 2007

Past 1
year

Life of Fund A

Spartan® Short-Term Treasury Bond Index Fund - Investor Class

4.65%

4.07%

Fidelity Advantage Class

4.75%

4.17%

A From December 20, 2005.

$10,000 Over Life of Fund

Let's say hypothetically that $10,000 was invested in Spartan® Short-Term Treasury Bond Index Fund - Investor Class on December 20, 2005, when the fund started. The chart shows how the value of your investment would have changed, and also shows how the Lehman Brothers® 1-5 Year U.S. Treasury Bond Index performed over the same period.



Annual Report

Spartan Short-Term Treasury Bond Index Fund

Investment Changes

Coupon Distribution as of February 28, 2007

% of fund's
investments

% of fund's investments
6 months ago

Less than 3%

0.0

1.5

3 - 3.99%

17.3

23.8

4 - 4.99%

53.3

56.2

5 - 5.99%

6.3

0.0

6 - 6.99%

21.3

18.2

Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments.

Average Years to Maturity as of February 28, 2007

6 months ago

Years

2.6

2.7

Average years to maturity is based on the average time remaining until principal payments are expected from each of the fund's bonds, weighted by dollar amount.

Duration as of February 28, 2007

6 months ago

Years

2.2

2.3

Duration shows how much a bond fund's price fluctuates with changes in comparable interest rates. If rates rise 1%, for example, a fund with a five-year duration is likely to lose about 5% of its value. Other factors also can influence a bond fund's performance and share price. Accordingly, a bond fund's actual performance may differ from this example.

Asset Allocation (% of fund's net assets)

As of February 28, 2007

As of August 31, 2006

U.S. Treasury
Obligations 99.2%

U.S. Treasury
Obligations 99.3%

Short-Term
Investments and
Net Other Assets 0.8%

Short-Term
Investments and
Net Other Assets 0.7%

Annual Report

Spartan Short-Term Treasury Bond Index Fund

Investments February 28, 2007

Showing Percentage of Net Assets

U.S. Government and Government Agency Obligations - 99.2%

Principal
Amount

Value

U.S. Treasury Obligations - 99.2%

U.S. Treasury Notes:

3% 11/15/07

$ 1,000

$ 986

3% 2/15/09

21,632,000

20,970,364

3.25% 8/15/08

1,000

979

3.5% 2/15/10

1,731,000

1,681,099

3.625% 7/15/09

2,688,000

2,629,829

3.875% 5/15/09

6,010,000

5,918,209

3.875% 5/15/10

1,000

981

4% 3/15/10

1,095,000

1,078,575

4.125% 8/15/10

1,393,000

1,375,750

4.25% 10/15/10

4,982,000

4,938,602

4.25% 1/15/11

8,864,000

8,780,209

4.5% 2/15/09

2,062,000

2,056,282

4.5% 2/28/11

1,523,000

1,522,405

4.625% 2/29/08

1,000

997

4.625% 8/31/11

6,439,000

6,469,437

4.625% 10/31/11

5,045,000

5,066,678

4.625% 12/31/11

1,509,000

1,515,543

4.625% 2/29/12

2,859,000

2,873,964

4.75% 11/15/08

1,000

1,001

4.75% 3/31/11

3,113,000

3,140,360

4.75% 1/31/12

3,957,000

3,997,033

4.875% 4/30/08

20,919,000

20,926,363

4.875% 10/31/08

23,549,000

23,611,546

4.875% 5/15/09

1,013,000

1,018,501

4.875% 4/30/11

2,907,000

2,946,178

4.875% 5/31/11

3,106,000

3,149,922

4.875% 7/31/11

1,884,000

1,910,715

5% 7/31/08

10,595,000

10,631,002

5% 2/15/11

1,000

1,019

5.125% 6/30/11

690,000

706,307

6% 8/15/09

9,722,000

10,034,164

6.5% 2/15/10

25,389,000

26,738,780

6.625% 5/15/07

1,639,000

1,643,866

TOTAL U.S. GOVERNMENT AND
GOVERNMENT AGENCY OBLIGATIONS

(Cost $176,457,050)

177,337,646

Cash Equivalents - 1.9%

Maturity Amount

Value

Investments in repurchase agreements in a joint trading account at 5.34%, dated 2/28/07 due 3/1/07 (Collateralized by U.S. Government Obligations) #
(Cost $3,342,000)

$ 3,342,495

$ 3,342,000

TOTAL INVESTMENT PORTFOLIO - 101.1%

(Cost $179,799,050)

180,679,646

NET OTHER ASSETS - (1.1)%

(1,963,747)

NET ASSETS - 100%

$ 178,715,899

Legend

# Additional Information on each counterparty to the repurchase agreement is as follows:

Repurchase Agreement /
Counterparty

Value

$3,342,000 due 3/01/07 at 5.34%

ABN AMRO Bank N.V., New York Branch

$ 138,801

BNP Paribas Securities Corp.

136,487

Banc of America Securities LLC

309,203

Bank of America, NA

462,669

Barclays Capital, Inc.

814,298

Bear Stearns & Co., Inc.

92,534

Citigroup Global Markets, Inc.

92,534

Countrywide Securities Corp.

462,669

Goldman, Sachs & Co.

46,267

Societe Generale, New York Branch

138,801

UBS Securities LLC

647,737

$ 3,342,000

See accompanying notes which are an integral part of the financial statements.

Annual Report

Spartan Short-Term Treasury Bond Index Fund

Financial Statements

Statement of Assets and Liabilities

February 28, 2007

Assets

Investment in securities, at value (including repurchase agreements of $3,342,000) -
See accompanying schedule:

Unaffiliated issuers (cost $179,799,050)

$ 180,679,646

Cash

337

Receivable for investments sold

13,445,641

Receivable for fund shares sold

281,669

Interest receivable

1,403,094

Total assets

195,810,387

Liabilities

Payable for investments purchased

$ 16,937,273

Payable for fund shares redeemed

46,470

Distributions payable

94,090

Accrued management fee

14,558

Other affiliated payables

2,097

Total liabilities

17,094,488

Net Assets

$ 178,715,899

Net Assets consist of:

Paid in capital

$ 177,332,062

Undistributed net investment income

446,644

Accumulated undistributed net realized gain (loss) on investments

56,597

Net unrealized appreciation (depreciation) on investments

880,596

Net Assets

$ 178,715,899

Investor Class:
Net Asset Value, offering price and redemption price per share ($26,669,815 ÷ 2,661,614 shares)

$ 10.02

Fidelity Advantage Class:
Net Asset Value, offering price and redemption price per share ($152,046,084 ÷ 15,174,120 shares)

$ 10.02

See accompanying notes which are an integral part of the financial statements.

Annual Report

Statement of Operations

Year ended February 28, 2007

Investment Income

Interest

$ 5,839,304

Expenses

Management fee

$ 121,896

Transfer agent fees

17,069

Independent trustees' compensation

371

Miscellaneous

236

Total expenses before reductions

139,572

Expense reductions

(272)

139,300

Net investment income

5,700,004

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

Unaffiliated issuers

(66,346)

Change in net unrealized appreciation (depreciation) on investment securities

932,698

Net gain (loss)

866,352

Net increase (decrease) in net assets resulting from operations

$ 6,566,356

See accompanying notes which are an integral part of the financial statements.

Annual Report

Spartan Short-Term Treasury Bond Index Fund
Financial Statements - continued

Statement of Changes in Net Assets

Year ended
February 28,
2007

For the period
December 20, 2005
(commencement of
operations) to
February 28,
2006

Increase (Decrease) in Net Assets

Operations

Net investment income

$ 5,700,004

$ 57,357

Net realized gain (loss)

(66,346)

(9,343)

Change in net unrealized appreciation (depreciation)

932,698

(52,102)

Net increase (decrease) in net assets resulting
from operations

6,566,356

(4,088)

Distributions to shareholders from net investment income

(5,133,066)

(45,019)

Share transactions - net increase (decrease)

159,791,254

17,540,462

Total increase (decrease) in net assets

161,224,544

17,491,355

Net Assets

Beginning of period

17,491,355

-

End of period (including undistributed net investment income of $446,644 and undistributed net investment income of $9,661, respectively)

$ 178,715,899

$ 17,491,355

See accompanying notes which are an integral part of the financial statements.

Annual Report

Financial Highlights - Investor Class

Years ended February 28,

2007

2006 F

Selected Per-Share Data

Net asset value, beginning of period

$ 9.96

$ 10.00

Income from Investment Operations

Net investment income D

.457

.075

Net realized and unrealized gain (loss)

(.003) E

(.054)

Total from investment operations

.454

.021

Distributions from net investment income

(.394)

(.061)

Net asset value, end of period

$ 10.02

$ 9.96

Total Return B, C

4.65%

.21%

Ratios to Average Net Assets G

Expenses before reductions

.20%

.20% A

Expenses net of fee waivers, if any

.20%

.20% A

Expenses net of all reductions

.20%

.20% A

Net investment income

4.60%

4.08% A

Supplemental Data

Net assets, end of period (000 omitted)

$ 26,670

$ 7,357

Portfolio turnover rate

123%

34%

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower had certain expenses not been reduced during the periods shown.

D Calculated based on average shares outstanding during the period.

E The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund.

F For the period December 20, 2005 (commencement of operations) to February 28, 2006.

G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

See accompanying notes which are an integral part of the financial statements.

Annual Report

Financial Highlights - Fidelity Advantage Class

Years ended February 28,

2007

2006 F

Selected Per-Share Data

Net asset value, beginning of period

$ 9.96

$ 10.00

Income from Investment Operations

Net investment income D

.465

.076

Net realized and unrealized gain (loss)

(.001) E

(.053)

Total from investment operations

.464

.023

Distributions from net investment income

(.404)

(.063)

Net asset value, end of period

$ 10.02

$ 9.96

Total Return B, C

4.75%

.23%

Ratios to Average Net Assets G

Expenses before reductions

.10%

.10% A

Expenses net of fee waivers, if any

.10%

.10% A

Expenses net of all reductions

.10%

.10% A

Net investment income

4.70%

4.18% A

Supplemental Data

Net assets, end of period (000 omitted)

$ 152,046

$ 10,134

Portfolio turnover rate

123%

34%

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower had certain expenses not been reduced during the periods shown.

D Calculated based on average shares outstanding during the period.

E The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund.

F For the period December 20, 2005 (commencement of operations) to February 28, 2006.

G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

See accompanying notes which are an integral part of the financial statements.

Annual Report

Spartan Intermediate Treasury Bond Index Fund

Performance: The Bottom Line

Average annual total return reflects the change in the value of an investment, assuming reinvestment of the class' dividend income and capital gains (the profits earned upon the sale of securities that have grown in value) and assuming a constant rate of performance each year. The $10,000 table and the fund's returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.

Average Annual Total Returns

Periods ended February 28, 2007

Past 1
year

Life of Fund A

Spartan® Intermediate Treasury Bond Index Fund - Investor Class

5.07%

4.11%

Fidelity Advantage Class

5.18%

4.21%

A From December 20, 2005.

$10,000 Over Life of Fund

Let's say hypothetically that $10,000 was invested in Spartan® Intermediate Treasury Bond Index Fund - Investor Class on December 20, 2005, when the fund started. The chart shows how the value of your investment would have changed, and also shows how the Lehman Brothers® 5-10 Year U.S. Treasury Bond Index performed over the same period.



Annual Report

Spartan Intermediate Treasury Bond Index Fund

Investment Changes

Coupon Distribution as of February 28, 2007

% of fund's
investments

% of fund's investments
6 months ago

Less than 3%

0.0

0.4

3 - 3.99%

5.3

8.8

4 - 4.99%

50.5

65.9

6 - 6.99%

1.2

0.0

7 - 7.99%

24.4

7.6

8% and over

3.3

15.3

Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments.

Average Years to Maturity as of February 28, 2007

6 months ago

Years

6.5

7.5

Average years to maturity is based on the average time remaining until principal payments are expected from each of the fund's bonds, weighted by dollar amount.

Duration as of February 28, 2007

6 months ago

Years

5.9

5.9

Duration shows how much a bond fund's price fluctuates with changes in comparable interest rates. If rates rise 1%, for example, a fund with a five-year duration is likely to lose about 5% of its value. Other factors also can influence a bond fund's performance and share price. Accordingly, a bond fund's actual performance may differ from this example.

Asset Allocation (% of fund's net assets)

As of February 28, 2007

As of August 31, 2006

U.S. Treasury
Obligations 99.0%

U.S. Treasury
Obligations 99.0%

Short-Term
Investments and
Net Other Assets 1.0%

Short-Term
Investments and
Net Other Assets 1.0%

Annual Report

Spartan Intermediate Treasury Bond Index Fund

Investments February 28, 2007

Showing Percentage of Net Assets

U.S. Government and Government Agency Obligations - 99.0%

Principal
Amount

Value

U.S. Treasury Obligations - 99.0%

U.S. Treasury Bonds:

7.25% 5/15/16

$ 109,663,000

$ 131,411,366

7.5% 11/15/16

40,296,000

49,373,601

8.75% 5/15/17

3,701,000

4,935,343

8.875% 8/15/17

347,000

468,179

9.125% 5/15/18

798,000

1,107,349

9.25% 2/15/16

11,795,000

15,812,212

10.375% 11/15/12

2,365,000

2,450,639

11.25% 2/15/15

1,000

1,442

U.S. Treasury Notes:

2.625% 3/15/09

1,000

962

3.625% 6/30/07

1,298,000

1,291,712

3.625% 5/15/13

1,454,000

1,386,127

3.875% 2/15/13

37,996,000

36,771,503

4% 6/15/09

7,566,000

7,468,172

4% 11/15/12

13,866,000

13,526,394

4% 2/15/14

91,524,000

88,599,534

4% 2/15/15

48,044,000

46,294,910

4.125% 5/15/15

85,937,000

83,466,311

4.25% 8/15/13 (b)

56,392,000

55,585,764

4.25% 11/15/13

1,000

984

4.25% 8/15/14

24,410,000

23,961,857

4.25% 11/15/14

1,000

981

4.375% 12/31/07

3,428,000

3,411,395

4.375% 8/15/12 (b)

22,181,000

22,074,420

4.5% 11/15/15

1,000

996

4.5% 2/15/16

472,000

470,212

4.625% 11/15/16

16,752,000

16,825,943

4.75% 5/15/14

493,000

499,394

4.875% 4/30/08

11,637,000

11,641,096

4.875% 2/15/12

1,000

1,017

6% 8/15/09

8,520,000

8,793,569

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $625,769,507)

627,633,384

Cash Equivalents - 17.8%

Maturity Amount

Value

Investments in repurchase agreements in a joint trading account at 5.34%, dated 2/28/07 due 3/1/07:

(Collateralized by U.S. Government Obligations) #

$ 9,708,439

$ 9,707,000

(Collateralized by U.S. Government Obligations) # (a)

103,310,322

103,295,000

TOTAL CASH EQUIVALENTS

(Cost $113,002,000)

113,002,000

TOTAL INVESTMENT PORTFOLIO - 116.8%

(Cost $738,771,507)

740,635,384

NET OTHER ASSETS - (16.8)%

(106,731,234)

NET ASSETS - 100%

$ 633,904,150

Legend

(a) Includes investment made with cash collateral received from securities on loan.

(b) Security or a portion of the security is on loan at period end.

# Additional Information on each counterparty to the repurchase agreement is as follows:

Repurchase Agreement /
Counterparty

Value

$9,707,000 due 3/01/07 at 5.34%

ABN AMRO Bank N.V., New York Branch

$ 403,154

BNP Paribas Securities Corp.

396,434

Banc of America Securities LLC

898,094

Bank of America, NA

1,343,845

Barclays Capital, Inc.

2,365,168

Bear Stearns & Co., Inc.

268,769

Repurchase Agreement /
Counterparty

Value

$9,707,000 due 3/01/07 at 5.34%

Citigroup Global Markets, Inc.

$ 268,769

Countrywide Securities Corp.

1,343,845

Goldman, Sachs & Co.

134,385

Societe Generale, New York Branch

403,154

UBS Securities LLC

1,881,383

$ 9,707,000

$103,295,000 due 3/01/07 at 5.34%

Banc of America Securities LLC

$ 103,295,000

See accompanying notes which are an integral part of the financial statements.

Annual Report

Spartan Intermediate Treasury Bond Index Fund

Financial Statements

Statement of Assets and Liabilities

February 28, 2007

Assets

Investment in securities, at value (including securities loaned of $101,269,608 and repurchase agreements of $113,002,000) - See accompanying schedule:

Unaffiliated issuers (cost $738,771,507)

$ 740,635,384

Cash

279,958

Receivable for investments sold

98,121,934

Receivable for fund shares sold

794,854

Interest receivable

5,620,239

Total assets

845,452,369

Liabilities

Payable for investments purchased

$ 108,117,754

Payable for fund shares redeemed

3,804

Distributions payable

15,866

Accrued management fee

51,566

Other affiliated payables

49,711

Other payables and accrued expenses

14,518

Collateral on securities loaned, at value

103,295,000

Total liabilities

211,548,219

Net Assets

$ 633,904,150

Net Assets consist of:

Paid in capital

$ 631,285,534

Undistributed net investment income

310,561

Accumulated undistributed net realized gain (loss) on investments

444,178

Net unrealized appreciation (depreciation) on investments

1,863,877

Net Assets

$ 633,904,150

Investor Class:
Net Asset Value, offering price and redemption price per share ($610,673,639 ÷ 61,192,247 shares)

$ 9.98

Fidelity Advantage Class:
Net Asset Value, offering price and redemption price per share ($23,230,511 ÷ 2,327,757 shares)

$ 9.98

See accompanying notes which are an integral part of the financial statements.

Annual Report

Spartan Intermediate Treasury Bond Index Fund
Financial Statements - continued

Statement of Operations

Year ended February 28, 2007

Investment Income

Interest

$ 8,195,394

Expenses

Management fee

$ 180,066

Transfer agent fees

164,677

Independent trustees' compensation

377

Miscellaneous

189

Total expenses before reductions

345,309

Expense reductions

(193)

345,116

Net investment income

7,850,278

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

Unaffiliated issuers

436,052

Change in net unrealized appreciation (depreciation) on investment securities

1,936,730

Net gain (loss)

2,372,782

Net increase (decrease) in net assets resulting from operations

$ 10,223,060

See accompanying notes which are an integral part of the financial statements.

Annual Report

Statement of Changes in Net Assets

Year ended
February 28,
2007

For the period
December 20, 2005
(commencement of
operations) to
February 28,
2006

Increase (Decrease) in Net Assets

Operations

Net investment income

$ 7,850,278

$ 48,486

Net realized gain (loss)

436,052

(11,870)

Change in net unrealized appreciation (depreciation)

1,936,730

(72,853)

Net increase (decrease) in net assets resulting
from operations

10,223,060

(36,237)

Distributions to shareholders from net investment income

(7,521,605)

(46,601)

Share transactions - net increase (decrease)

619,510,006

11,775,527

Total increase (decrease) in net assets

622,211,461

11,692,689

Net Assets

Beginning of period

11,692,689

-

End of period (including undistributed net investment income of $310,561 and undistributed net investment income of $1,583, respectively)

$ 633,904,150

$ 11,692,689

See accompanying notes which are an integral part of the financial statements.

Annual Report

Financial Highlights - Investor Class

Years ended February 28,

2007

2006 E

Selected Per-Share Data

Net asset value, beginning of period

$ 9.91

$ 10.00

Income from Investment Operations

Net investment income D

.432

.076

Net realized and unrealized gain (loss)

.055

(.091)

Total from investment operations

.487

(.015)

Distributions from net investment income

(.417)

(.075)

Net asset value, end of period

$ 9.98

$ 9.91

Total Return B, C

5.07%

(.15)%

Ratios to Average Net Assets F

Expenses before reductions

.20%

.20% A

Expenses net of fee waivers, if any

.20%

.20% A

Expenses net of all reductions

.20%

.20% A

Net investment income

4.41%

4.09% A

Supplemental Data

Net assets, end of period (000 omitted)

$ 610,674

$ 5,319

Portfolio turnover rate

100%

27%

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower had certain expenses not been reduced during the periods shown.

D Calculated based on average shares outstanding during the period.

E For the period December 20, 2005 (commencement of operations) to February 28, 2006.

F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

See accompanying notes which are an integral part of the financial statements.

Annual Report

Financial Highlights - Fidelity Advantage Class

Years ended February 28,

2007

2006 E

Selected Per-Share Data

Net asset value, beginning of period

$ 9.91

$ 10.00

Income from Investment Operations

Net investment income D

.441

.078

Net realized and unrealized gain (loss)

.056

(.091)

Total from investment operations

.497

(.013)

Distributions from net investment income

(.427)

(.077)

Net asset value, end of period

$ 9.98

$ 9.91

Total Return B, C

5.18%

(.13)%

Ratios to Average Net Assets F

Expenses before reductions

.10%

.10% A

Expenses net of fee waivers, if any

.10%

.10% A

Expenses net of all reductions

.10%

.10% A

Net investment income

4.52%

4.19% A

Supplemental Data

Net assets, end of period (000 omitted)

$ 23,231

$ 6,374

Portfolio turnover rate

100%

27%

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower had certain expenses not been reduced during the periods shown.

D Calculated based on average shares outstanding during the period.

E For the period December 20, 2005 (commencement of operations) to February 28, 2006.

F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

See accompanying notes which are an integral part of the financial statements.

Annual Report

Spartan Long-Term Treasury Bond Index Fund

Performance: The Bottom Line

Average annual total return reflects the change in the value of an investment, assuming reinvestment of the class' dividend income and capital gains (the profits earned upon the sale of securities that have grown in value) and assuming a constant rate of performance each year. The $10,000 table and the fund's returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.

Average Annual Total Returns

Periods ended February 28, 2007

Past 1
year

Life of Fund A

Spartan® Long-Term Treasury Bond Index Fund - Investor Class

4.09%

4.24%

Fidelity Advantage Class

4.19%

4.35%

A From December 20, 2005.

$10,000 Over Life of Fund

Let's say hypothetically that $10,000 was invested in Spartan® Long-Term Treasury Bond Index Fund - Investor Class on December 20, 2005, when the fund started. The chart shows how the value of your investment would have changed, and also shows how the Lehman Brothers® Long U.S. Treasury Bond Index performed over the same period.



Annual Report

Spartan Long-Term Treasury Bond Index Fund

Investment Changes

Coupon Distribution as of February 28, 2007

% of fund's
investments

% of fund's investments
6 months ago

4 - 4.99%

7.0

4.8

5 - 5.99%

2.6

4.3

6 - 6.99%

40.0

40.0

7 - 7.99%

13.4

3.7

8 - 8.99%

33.1

45.4

9 - 9.99%

2.0

0.0

Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments.

Average Years to Maturity as of February 28, 2007

6 months ago

Years

17.2

17.2

Average years to maturity is based on the average time remaining until principal payments are expected from each of the fund's bonds, weighted by dollar amount.

Duration as of February 28, 2007

6 months ago

Years

10.5

10.4

Duration shows how much a bond fund's price fluctuates with changes in comparable interest rates. If rates rise 1%, for example, a fund with a five-year duration is likely to lose about 5% of its value. Other factors also can influence a bond fund's performance and share price. Accordingly, a bond fund's actual performance may differ from this example.

Asset Allocation (% of fund's net assets)

As of February 28, 2007

As of August 31, 2006

U.S. Treasury
Obligations 99.1%

U.S. Treasury
Obligations 99.2%

Short-Term
Investments and
Net Other Assets 0.9%

Short-Term
Investments and
Net Other Assets 0.8%

Annual Report

Spartan Long-Term Treasury Bond Index Fund

Investments February 28, 2007

Showing Percentage of Net Assets

U.S. Government and Government Agency Obligations - 99.1%

Principal
Amount

Value

U.S. Treasury Obligations - 99.1%

U.S. Treasury Bonds:

4.5% 2/15/36

$ 1,117,000

$ 1,083,316

4.75% 2/15/37

213,000

215,729

5.25% 2/15/29

442,000

471,248

5.375% 2/15/31

1,000

1,090

6% 2/15/26

1,055,000

1,214,322

6.125% 11/15/27

1,610,000

1,895,774

6.125% 8/15/29

1,240,000

1,472,500

6.25% 8/15/23

1,129,000

1,317,138

6.25% 5/15/30

782,000

946,464

6.375% 8/15/27

71,000

85,744

6.625% 2/15/27

14,000

17,306

6.75% 8/15/26

357,000

445,469

7.125% 2/15/23

1,403,000

1,768,657

7.25% 5/15/16

3,000

3,595

7.5% 11/15/16

24,000

29,407

7.875% 2/15/21

509,000

670,210

8% 11/15/21

561,000

751,915

8.125% 5/15/21

575,000

774,004

8.5% 2/15/20

629,000

858,143

8.75% 5/15/17

179,000

238,699

8.75% 8/15/20

987,000

1,378,639

8.875% 8/15/17

750,000

1,011,914

8.875% 2/15/19

806,000

1,113,225

9% 11/15/18

270,000

374,815

U.S. Treasury Notes 5.125% 5/15/16

4,000

4,165

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $17,766,148)

18,143,488

Cash Equivalents - 1.9%

Maturity Amount

Value

Investments in repurchase agreements in a joint trading account at 5.34%, dated 2/28/07 due 3/1/07 (Collateralized by U.S. Government Obligations) #
(Cost $354,000)

$ 354,052

$ 354,000

TOTAL INVESTMENT PORTFOLIO - 101.0%

(Cost $18,120,148)

18,497,488

NET OTHER ASSETS - (1.0)%

(178,732)

NET ASSETS - 100%

$ 18,318,756

Legend

# Additional Information on each counterparty to the repurchase agreement is as follows:

Repurchase Agreement /
Counterparty

Value

$354,000 due 3/01/07 at 5.34%

ABN AMRO Bank N.V., New York Branch

$ 14,702

BNP Paribas Securities Corp.

14,457

Banc of America Securities LLC

32,752

Bank of America, NA

49,008

Barclays Capital, Inc.

86,255

Bear Stearns & Co., Inc.

9,802

Citigroup Global Markets, Inc.

9,802

Countrywide Securities Corp.

49,008

Goldman, Sachs & Co.

4,901

Societe Generale, New York Branch

14,702

UBS Securities LLC

68,611

$ 354,000

See accompanying notes which are an integral part of the financial statements.

Annual Report

Spartan Long-Term Treasury Bond Index Fund

Financial Statements

Statement of Assets and Liabilities

February 28, 2007

Assets

Investment in securities, at value (including repurchase agreements of $354,000) -
See accompanying schedule:

Unaffiliated issuers (cost $18,120,148)

$ 18,497,488

Cash

102

Receivable for investments sold

156,173

Receivable for fund shares sold

431,953

Interest receivable

108,295

Total assets

19,194,011

Liabilities

Payable for investments purchased

$ 857,039

Payable for fund shares redeemed

12,000

Distributions payable

4,052

Accrued management fee

1,424

Other affiliated payables

740

Total liabilities

875,255

Net Assets

$ 18,318,756

Net Assets consist of:

Paid in capital

$ 17,952,358

Distributions in excess of net investment income

(1,127)

Accumulated undistributed net realized gain (loss) on investments

(9,815)

Net unrealized appreciation (depreciation) on investments

377,340

Net Assets

$ 18,318,756

Investor Class:
Net Asset Value, offering price and redemption price per share ($9,573,189 ÷ 962,644 shares)

$ 9.94

Fidelity Advantage Class:
Net Asset Value, offering price and redemption price per share ($8,745,567 ÷ 879,429 shares)

$ 9.94

See accompanying notes which are an integral part of the financial statements.

Annual Report

Statement of Operations

Year ended February 28, 2007

Investment Income

Interest

$ 483,975

Expenses

Management fee

$ 9,939

Transfer agent fees

5,203

Independent trustees' compensation

30

Miscellaneous

18

Total expenses before reductions

15,190

Expense reductions

(223)

14,967

Net investment income

469,008

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

Unaffiliated issuers

(8,874)

Change in net unrealized appreciation (depreciation) on investment securities

371,233

Net gain (loss)

362,359

Net increase (decrease) in net assets resulting from operations

$ 831,367

See accompanying notes which are an integral part of the financial statements.

Annual Report

Spartan Long-Term Treasury Bond Index Fund
Financial Statements - continued

Statement of Changes in Net Assets

Year ended
February 28,
2007

For the period
December 20, 2005
(commencement of
operations) to
February 28,
2006

Increase (Decrease) in Net Assets

Operations

Net investment income

$ 469,008

$ 19,371

Net realized gain (loss)

(8,874)

(396)

Change in net unrealized appreciation (depreciation)

371,233

6,107

Net increase (decrease) in net assets resulting
from operations

831,367

25,082

Distributions to shareholders from net investment income

(470,642)

(19,399)

Share transactions - net increase (decrease)

14,887,685

3,064,663

Total increase (decrease) in net assets

15,248,410

3,070,346

Net Assets

Beginning of period

3,070,346

-

End of period (including distributions in excess of net investment income of $1,127 and undistributed net investment income of $508, respectively)

$ 18,318,756

$ 3,070,346

See accompanying notes which are an integral part of the financial statements.

Annual Report

Financial Highlights - Investor Class

Years ended February 28,

2007

2006 F

Selected Per-Share Data

Net asset value, beginning of period

$ 10.01

$ 10.00

Income from Investment Operations

Net investment income D

.455

.084

Net realized and unrealized gain (loss)

(.067) E

.011

Total from investment operations

.388

.095

Distributions from net investment income

(.458)

(.085)

Net asset value, end of period

$ 9.94

$ 10.01

Total Return B, C

4.09%

.95%

Ratios to Average Net Assets G

Expenses before reductions

.20%

.20% A

Expenses net of fee waivers, if any

.20%

.20% A

Expenses net of all reductions

.20%

.20% A

Net investment income

4.70%

4.34% A

Supplemental Data

Net assets, end of period (000 omitted)

$ 9,573

$ 1,737

Portfolio turnover rate

86%

9%

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower had certain expenses not been reduced during the periods shown.

D Calculated based on average shares outstanding during the period.

E The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund.

F For the period December 20, 2005 (commencement of operations) to February 28, 2006.

G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

See accompanying notes which are an integral part of the financial statements.

Annual Report

Financial Highlights - Fidelity Advantage Class

Years ended February 28,

2007

2006 F

Selected Per-Share Data

Net asset value, beginning of period

$ 10.01

$ 10.00

Income from Investment Operations

Net investment income D

.463

.086

Net realized and unrealized gain (loss)

(.066) E

.011

Total from investment operations

.397

.097

Distributions from net investment income

(.467)

(.087)

Net asset value, end of period

$ 9.94

$ 10.01

Total Return B, C

4.19%

.97%

Ratios to Average Net Assets G

Expenses before reductions

.10%

.10% A

Expenses net of fee waivers, if any

.10%

.10% A

Expenses net of all reductions

.10%

.10% A

Net investment income

4.80%

4.44% A

Supplemental Data

Net assets, end of period (000 omitted)

$ 8,746

$ 1,334

Portfolio turnover rate

86%

9%

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower had certain expenses not been reduced during the periods shown.

D Calculated based on average shares outstanding during the period.

E The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund.

F For the period December 20, 2005 (commencement of operations) to February 28, 2006.

G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

See accompanying notes which are an integral part of the financial statements.

Annual Report

Notes to Financial Statements

For the period ended February 28, 2007

1. Organization.

Spartan Short-Term Treasury Bond Index Fund, Spartan Intermediate Treasury Bond Index Fund and Spartan Long-Term Treasury Bond Index Fund (the Funds) are funds of Fidelity Concord Street Trust (the trust). The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. Each Fund is authorized to issue an unlimited number of shares. Each Fund offers Investor Class and Fidelity Advantage Class shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Each Fund offers conversion privileges between share classes within each Fund to eligible shareholders. Investment income, realized and unrealized capital gains and losses, the common expenses of each Fund, and certain fund-level expense reductions, if any, are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of each Fund. Each class differs with respect to transfer agent fees incurred and certain class-level expense reductions. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements.

2. Significant Accounting Policies.

The following summarizes the significant accounting policies of the Funds:

Security Valuation. Investments are valued and net asset value per share is calculated (NAV calculation) as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Wherever possible, each Fund uses independent pricing services approved by the Board of Trustees to value their investments. Debt securities, including restricted securities, for which quotes are readily available, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. The frequency of when fair value pricing is used is unpredictable. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities. Investments in open-end mutual funds are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value.

Annual Report

Notes to Financial Statements - continued

2. Significant Accounting Policies - continued

Investment Transactions and Income. For financial reporting purposes, the Funds' investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV for processing shareholder transactions includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Interest income is accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities.

Expenses. Most expenses of each trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Income Tax Information and Distributions to Shareholders. Each year, each Fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements.

Dividends are declared daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. In addition, certain Funds will claim a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.

Book-tax differences are primarily due to market discount and losses deferred due to wash sales and excise tax regulations.

The tax-basis components of distributable earnings and the federal tax cost as of period end were as follows for each Fund:

Cost for Federal
Income Tax
Purposes

Unrealized
Appreciation

Unrealized
Depreciation

Net Unrealized
Appreciation/
(Depreciation)

Spartan Short-Term Treasury Bond Index Fund

$ 179,460,031

$ 1,241,927

$ (22,312)

$ 1,219,615

Spartan Intermediate Treasury Bond Index Fund

738,545,128

2,382,544

(292,288)

2,090,256

Spartan Long-Term Treasury
Bond Index Fund

18,168,679

352,499

(23,690)

328,809

Annual Report

2. Significant Accounting Policies - continued

Income Tax Information and Distributions to Shareholders - continued

Undistributed
Ordinary Income

Spartan Short-Term Treasury Bond Index Fund

$ 163,637

Spartan Intermediate Treasury Bond Index Fund

528,915

Spartan Long-Term Treasury Bond Index Fund

37,764

The tax character of distributions paid was as follows:

February 28, 2007

Ordinary Income

Spartan Short-Term Treasury Bond Index Fund

$ 5,133,066

Spartan Intermediate Treasury Bond Index Fund

7,521,605

Spartan Long-Term Treasury Bond Index Fund

470,642

February 28, 2006

Ordinary Income

Spartan Short-Term Treasury Bond Index Fund

$ 45,019

Spartan Intermediate Treasury Bond Index Fund

46,601

Spartan Long-Term Treasury Bond Index Fund

19,399

New Accounting Pronouncements. In July 2006, Financial Accounting Standards Board Interpretation No. 48, Accounting for Uncertainty in Income Taxes - an interpretation of FASB Statement 109 (FIN 48), was issued and is effective on the last business day of the semiannual reporting period for fiscal years beginning after December 15, 2006. FIN 48 sets forth a threshold for financial statement recognition, measurement and disclosure of a tax position taken or expected to be taken on a tax return. Management is currently evaluating the impact, if any, the adoption of FIN 48 will have on the Funds' net assets, results of operations and financial statement disclosures.

In addition, in September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact the adoption of SFAS 157 will have on the Funds' financial statement disclosures.

Annual Report

Notes to Financial Statements - continued

3. Operating Policies.

Repurchase Agreements. Fidelity Management & Research Company (FMR) has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits certain Funds and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. Certain Funds may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. Each applicable Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.

4. Fees and Other Transactions with Affiliates.

Management Fee and Expense Contract. FMR and its affiliates provide the Funds with investment management related services for which the Funds pay a monthly management fee. The management fee is based on an annual rate of .10% each Fund's average net assets. Under the management contract, FMR pays all other fund-level expenses, except the compensation of the independent Trustees and certain other expenses such as interest expense.

In addition, under the expense contract, FMR pays class-level expenses of each Fidelity Advantage Class and Investor Class so that the total expenses do not exceed .10% and .20% of the class' average net assets, respectively, with certain exceptions.

Transfer Agent Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, is each Fund's transfer, dividend disbursing and shareholder servicing agent. FSC receives asset-based fees of .10% and .06% of average net assets for each Fund's Investor Class and Fidelity Advantage Class, respectively. Under the expense contract, each Investor Class pays transfer agent fees at an annual rate of .10%, and each Fidelity Advantage Class pays no transfer agent fees. FSC pays for typesetting, printing and mailing of shareholder reports, except proxy statements.

Annual Report

5. Committed Line of Credit.

Certain Funds participate with other funds managed by FMR in a $4.2 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro rata portion of the line of credit, which is reflected in Miscellaneous Expense on the Statement of Operations, and is as follows:

Spartan Short-Term Treasury Bond Index Fund

$ 236

Spartan Intermediate Treasury Bond Index Fund

189

Spartan Long-Term Treasury Bond Index Fund

18

During the period, there were no borrowings on this line of credit.

6. Security Lending.

Certain Funds lend portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, each applicable Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Funds and any additional required collateral is delivered to the Funds on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is invested in cash equivalents. The value of loaned securities and cash collateral at period end are disclosed on each applicable Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less fees and expenses associated with the loan, plus any premium payments that may be received on the loan of certain types of securities. Security lending income is presented on each applicable Fund's Statement of Operations as a component of interest income. Net income from lending portfolio securities during the period amounted to:

Spartan Short-Term Treasury Bond Index Fund

$ 401

Spartan Intermediate Treasury Bond Index Fund

$ 55,774

Annual Report

Notes to Financial Statements - continued

7. Expense Reductions.

Through arrangements with each applicable Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce each applicable Fund's expenses as noted in the table below.

Management
fee reduction

Spartan Short-Term Treasury Bond Index Fund

$ 272

Spartan Intermediate Treasury Bond Index Fund

193

Spartan Long-Term Treasury Bond Index Fund

223

8. Other.

The Funds' organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Funds. In the normal course of business, the Funds may also enter into contracts that provide general indemnifications. The Funds' maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Funds. The risk of material loss from such claims is considered remote.

9. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

Years ended February 28,

2007

2006 A

Spartan Short-Term Treasury Bond Index Fund

From net investment income

Investor Class

$ 694,066

$ 19,910

Fidelity Advantage Class

4,439,000

25,109

Total

$ 5,133,066

$ 45,019

Spartan Intermediate Treasury Bond Index Fund

From net investment income

Investor Class

$ 6,854,900

$ 20,443

Fidelity Advantage Class

666,705

26,158

Total

$ 7,521,605

$ 46,601

Spartan Long-Term Treasury Bond Index Fund

From net investment income

Investor Class

$ 243,544

$ 10,238

Fidelity Advantage Class

227,098

9,161

Total

$ 470,642

$ 19,399

A For the period December 20, 2005 (commencement of operations) to February 28, 2006.

Annual Report

10. Share Transactions.

Transactions for each class of shares were as follows:

Shares

Dollars

Years ended February 28,

Years ended February 28,

2007

2006 A

2007

2006 A

Spartan Short-Term Treasury Bond Index Fund

Investor Class

Shares sold

3,406,879

816,469

$ 33,912,713

$ 8,153,844

Reinvestment of distributions

60,928

1,819

607,959

18,134

Shares redeemed

(1,545,148)

(79,333)

(15,407,784)

(790,153)

Net increase (decrease)

1,922,659

738,955

$ 19,112,888

$ 7,381,825

Fidelity Advantage Class

Shares sold

14,974,260

1,063,132

$ 148,835,286

$ 10,609,041

Reinvestment of distributions

392,908

2,278

3,921,443

22,705

Shares redeemed

(1,210,912)

(47,546)

(12,078,363)

(473,109)

Net increase (decrease)

14,156,256

1,017,864

$ 140,678,366

$ 10,158,637

Spartan Intermediate Treasury Bond Index Fund

Investor Class

Shares sold

65,028,328

535,054

$ 646,491,342

$ 5,341,308

Reinvestment of distributions

690,955

2,030

6,838,662

20,158

Shares redeemed

(5,063,614)

(506)

(50,301,805)

(5,000)

Net increase (decrease)

60,655,669

536,578

$ 603,028,199

$ 5,356,466

Fidelity Advantage Class

Shares sold

2,145,684

690,920

$ 21,043,083

$ 6,894,232

Reinvestment of distributions

55,711

2,485

548,953

24,671

Shares redeemed

(516,605)

(50,438)

(5,110,229)

(499,842)

Net increase (decrease)

1,684,790

642,967

$ 16,481,807

$ 6,419,061

Spartan Long-Term Treasury Bond Index Fund

Investor Class

Shares sold

1,361,140

178,708

$ 13,230,145

$ 1,785,549

Reinvestment of distributions

24,109

1,023

235,169

10,238

Shares redeemed

(596,053)

(6,283)

(5,817,623)

(62,725)

Net increase (decrease)

789,196

173,448

$ 7,647,691

$ 1,733,062

Fidelity Advantage Class

Shares sold

1,030,396

132,284

$ 9,999,248

$ 1,322,440

Reinvestment of distributions

20,478

915

199,556

9,161

Shares redeemed

(304,644)

-

(2,958,810)

-

Net increase (decrease)

746,230

133,199

$ 7,239,994

$ 1,331,601

A For the period December 20, 2005 (commencement of operations) to February 28, 2006.

Annual Report

Report of Independent Registered Public Accounting Firm

To the Trustees of Fidelity Concord Street Trust and the Shareholders of Spartan Short-Term Treasury Bond Index Fund, Spartan Intermediate Treasury Bond Index Fund, and Spartan Long-Term Treasury Bond Index Fund:

In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Spartan Short-Term Treasury Bond Index Fund, Spartan Intermediate Treasury Bond Index Fund, and Spartan Long-Term Treasury Bond Index Fund (the Funds), each a fund of Fidelity Concord Street Trust at February 28, 2007, the results of each of their operations for the year then ended, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fidelity Concord Street Trust's management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at February 28, 2007 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

/s/ PricewaterhouseCoopers LLP

PricewaterhouseCoopers LLP

Boston, Massachusetts
April 16, 2007

Annual Report

Trustees and Officers

The Trustees, Member of the Advisory Board, and executive officers of the trust and funds, as applicable, are listed below. The Board of Trustees governs each fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee each fund's activities, review contractual arrangements with companies that provide services to each fund, and review each fund's performance. Each of the Trustees oversees 349 funds advised by FMR or an affiliate.

The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) (Independent Trustee), shall retire not later than the last day of the calendar year in which his or her 72nd birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. The executive officers and Advisory Board Member hold office without limit in time, except that any officer and Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.

The funds' Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544.

Interested Trustees*:

Correspondence intended for each Trustee who is an interested person may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.

Name, Age; Principal Occupation

Edward C. Johnson 3d (76)

Year of Election or Appointment: 1987

Mr. Johnson is Chairman of the Board of Trustees. Mr. Johnson serves as President (2006-present), Chief Executive Officer, Chairman, and a Director of FMR Corp.; Chairman and a Director of FMR; Chairman and a Director of Fidelity Research & Analysis Company (FRAC); Chairman and a Director of Fidelity Investments Money Management, Inc.; and Chairman (2001-present) and a Director of FMR Co., Inc. In addition, Mr. Johnson serves as Chairman and Director of Fidelity International Limited (FIL).

Robert L. Reynolds (54)

Year of Election or Appointment: 2003

Mr. Reynolds is President and a Director of FMR (2005-present), Fidelity Investments Money Management, Inc. (2005-present), and FMR Co., Inc. (2005-present). Mr. Reynolds also serves as Vice Chairman (2006-
present), a Director (2003-present), and Chief Operating Officer of FMR Corp. and a Director of Strategic Advisers, Inc. (2005-present). He also serves on the Board at Fidelity Investments Canada, Ltd.

* Trustees have been determined to be "Interested Trustees" by virtue of, among other things, their affiliation with the trust or various entities under common control with FMR.

Independent Trustees:

Correspondence intended for each Independent Trustee (that is, the Trustees other than the Interested Trustees) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.

Name, Age; Principal Occupation

Dennis J. Dirks (58)

Year of Election or Appointment: 2005

Prior to his retirement in May 2003, Mr. Dirks was Chief Operating Officer and a member of the Board of The Depository Trust & Clearing Corporation (DTCC) (1999-2003). He also served as President, Chief Operating Officer, and Board member of The Depository Trust Company (DTC) (1999-2003) and President and Board member of the National Securities Clearing Corporation (NSCC) (1999-2003). In addition, Mr. Dirks served as Chief Executive Officer and Board member of the Government Securities Clearing Corporation (2001-2003) and Chief Executive Officer and Board member of the Mortgage-Backed Securities Clearing Corporation (2001-2003). Mr. Dirks also serves as a Trustee and a member of the Finance Committee of Manhattan College (2005-
present) and a Trustee and a member of the Finance Committee of AHRC of Nassau County (2006-present).

Albert R. Gamper, Jr. (64)

Year of Election or Appointment: 2006

Prior to his retirement in December 2004, Mr. Gamper served as Chairman of the Board of CIT Group Inc. (commercial finance). During his tenure with CIT Group Inc. Mr. Gamper served in numerous senior management positions, including Chairman (1987-1989; 1999-2001; 2002-2004), Chief Executive Officer (1987-2004), and President (1989-2002). He currently serves as a member of the Board of Directors of Public Service Enterprise Group (utilities, 2001-present), Chairman of the Board of Governors, Rutgers University (2004-present), and Chairman of the Board of Saint Barnabas Health Care System.

George H. Heilmeier (70)

Year of Election or Appointment: 2004

Dr. Heilmeier is Chairman Emeritus of Telcordia Technologies (communication software and systems), where prior to his retirement, he served as company Chairman and Chief Executive Officer. He currently serves on the Boards of Directors of The Mitre Corporation (systems engineering and information technology support for the government), and HRL Laboratories (private research and development, 2004-present). He is Chairman of the General Motors Science & Technology Advisory Board and a Life Fellow of the Institute of Electrical and Electronics Engineers (IEEE). Dr. Heilmeier is a member of the Defense Science Board and the National Security Agency Advisory Board. He is also a member of the National Academy of Engineering, the American Academy of Arts and Sciences, and the Board of Overseers of the School of Engineering and Applied Science of the University of Pennsylvania. Previously, Dr. Heilmeier served as a Director of TRW Inc. (automotive, space, defense, and information technology, 1992-2002), Compaq (1994-
2002), Automatic Data Processing, Inc. (ADP) (technology-based business outsourcing, 1995-2002), INET Technologies Inc. (telecommunications network surveillance, 2001-2004), and Teletech Holdings (customer management services). He is the recipient of the 2005 Kyoto Prize in Advanced Technology for his invention of the liquid crystal display, and a member of the Consumer Electronics Hall of Fame.

James H. Keyes (66)

Year of Election or Appointment: 2007

Prior to his retirement in 2003, Mr. Keyes was Chairman, President, and Chief Executive Officer of Johnson Controls, Inc. (automotive supplier, 1993-2003). He currently serves as a member of the boards of LSI Logic Corporation (semiconductor technologies), Navistar International Corporation (manufacture and sale of trucks, buses, and diesel engines, 2002-present), and Pitney Bowes, Inc. (integrated mail, messaging, and document management solutions).

Marie L. Knowles (60)

Year of Election or Appointment: 2001

Prior to Ms. Knowles' retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996-2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company. She served as a Director of ARCO from 1996 to 1998. She currently serves as a Director of Phelps Dodge Corporation (copper mining and manufacturing) and McKesson Corporation (healthcare service, 2002-present). Ms. Knowles is a Trustee of the Brookings Institution and the Catalina Island Conservancy and also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California.

Ned C. Lautenbach (63)

Year of Election or Appointment: 2000

Mr. Lautenbach is Chairman of the Independent Trustees (2006-present). Mr. Lautenbach has been a partner of Clayton, Dubilier & Rice, Inc. (private equity investment firm) since September 1998. Previously, Mr. Lautenbach was with the International Business Machines Corporation (IBM) from 1968 until his retirement in 1998. Mr. Lautenbach serves as a Director of Sony Corporation (2006-present) and Eaton Corporation (diversified industrial) as well as the Philharmonic Center for the Arts in Naples, Florida. He also is a member of the Board of Trustees of Fairfield University (2005-present), as well as a member of the Council on Foreign Relations.

Cornelia M. Small (62)

Year of Election or Appointment: 2005

Ms. Small is a member (2000-present) and Chairperson (2002-present) of the Investment Committee, and a member (2002-present) of the Board of Trustees of Smith College. Previously, she served as Chief Investment Officer (1999-2000), Director of Global Equity Investments (1996-1999), and a member of the Board of Directors of Scudder, Stevens & Clark (1990-1997) and Scudder Kemper Investments (1997-1999). In addition, Ms. Small served as Co-Chair (2000-2003) of the Annual Fund for the Fletcher School of Law and Diplomacy.

William S. Stavropoulos (67)

Year of Election or Appointment: 2001

Mr. Stavropoulos is Chairman Emeritus of the Board of Directors of The Dow Chemical Company. Since joining The Dow Chemical Company in 1967, Mr. Stavropoulos served in numerous senior management positions, including President (1993-2000; 2002-2003), CEO (1995-2000; 2002-2004), and Chairman of the Executive Committee (2000-2004). Currently, he is a Director of NCR Corporation (data warehousing and technology solutions), Chemical Financial Corporation, Maersk Inc. (industrial conglomerate, 2002-present), Tyco International, Inc. (multinational manufacturing and services, 2007-present), and a member of the Advisory Board for Metalmark Capital (private equity investment firm, 2005-present). He is a special advisor to Clayton, Dubilier & Rice, Inc., a private equity investment firm. He also serves as a member of the Board of Trustees of the American Enterprise Institute for Public Policy Research. In addition, Mr. Stavropoulos is a member of The Business Council, J.P. Morgan International Council and the University of Notre Dame Advisory Council for the College of Science.

Kenneth L. Wolfe (68)

Year of Election or Appointment: 2005

Prior to his retirement in 2001, Mr. Wolfe was Chairman and Chief Executive Officer of Hershey Foods Corporation (1993-2001). He currently serves as a member of the boards of Adelphia Communications Corporation (2003-present), Bausch & Lomb, Inc., and Revlon Inc. (2004-present).

Advisory Board Member and Executive Officers:

Correspondence intended for each executive officer and Mr. Lynch may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.

Name, Age; Principal Occupation

Peter S. Lynch (63)

Year of Election or Appointment: 2003

Member of the Advisory Board of Fidelity Concord Street Trust. Mr. Lynch is Vice Chairman and a Director of FMR, and Vice Chairman (2001-present) and a Director of FMR Co., Inc. Previously, Mr. Lynch served as a Trustee of the Fidelity funds (1990-2003). In addition, he serves as a Trustee of Boston College and as the Chairman of the Inner-City Scholarship Fund.

Kimberley H. Monasterio (43)

Year of Election or Appointment: 2007

President and Treasurer of Spartan Short-Term Treasury Bond Index, Spartan Intermediate Treasury Bond Index, and Spartan Long-Term Treasury Bond Index. Ms. Monasterio also serves as President and Treasurer of other Fidelity funds (2007-present) and is an employee of FMR (2004-present). Previously, Ms. Monasterio served as Deputy Treasurer of the Fidelity funds (2004-2006). Before joining Fidelity Investments, Ms. Monasterio served as Treasurer (2000-2004) and Chief Financial Officer (2002-2004) of the Franklin Templeton Funds and Senior Vice President of Franklin Templeton Services, LLC (2000-2004).

Boyce I. Greer (51)

Year of Election or Appointment: 2006

Vice President of Spartan Short-Term Treasury Bond Index, Spartan Intermediate Treasury Bond Index, and Spartan Long-Term Treasury Bond Index. Mr. Greer also serves as Vice President of certain Equity Funds (2005-present), certain Asset Allocation Funds (2005-present), Fixed-Income Funds (2006-present), and Money Market Funds (2006-present). Mr. Greer is also a Trustee of other investment companies advised by FMR (2003-present). He is an Executive Vice President of FMR (2005-present) and FMR Co., Inc. (2005-present), and Senior Vice President of Fidelity Investments Money Management, Inc. (2006-present). Previously, Mr. Greer served as a Director and Managing Director of Strategic Advisers, Inc. (2002-2005), and Executive Vice President (2000-2002) and Money Market Group Leader (1997-2002) of the Fidelity Investments Fixed Income Division. He also served as Vice President of Fidelity's Money Market Funds (1997-2002), Senior Vice President of FMR (1997-2002), and Vice President of FIMM (1998-2002).

David L. Murphy (59)

Year of Election or Appointment: 2005

Vice President of Spartan Short-Term Treasury Bond Index, Spartan Intermediate Treasury Bond Index, and Spartan Long-Term Treasury Bond Index. Mr. Murphy also serves as Vice President of Fidelity's Money Market Funds (2002-present), certain Asset Allocation Funds (2003-
present), Fixed-Income Funds (2005-present), and Balanced Funds (2005-present). He serves as Senior Vice President (2000-present) and Head (2004-present) of the Fidelity Investments Fixed Income Division. Mr. Murphy is also a Senior Vice President of Fidelity Investments Money Management, Inc. (2003-present) and an Executive Vice President of FMR (2005-present). Previously, Mr. Murphy served as Money Market Group Leader (2002-2004), Bond Group Leader (2000-2002), and Vice President of Fidelity's Taxable Bond Funds (2000-2002) and Fidelity's Municipal Bond Funds (2001-2002).

Thomas J. Silvia (45)

Year of Election or Appointment: 2005

Vice President of Spartan Short-Term Treasury Bond Index, Spartan Intermediate Treasury Bond Index, and Spartan Long-Term Treasury Bond Index. Mr. Silvia also serves as Vice President of Fidelity's Fixed-Income Funds (2005-present), certain Balanced Funds (2005-present), certain Asset Allocation Funds (2005-present), and Senior Vice President and Bond Group Leader of the Fidelity Investments Fixed-Income Division (2005-present). Previously, Mr. Silvia served as Director of Fidelity's Taxable Bond portfolio managers (2002-2004) and a portfolio manager in the Bond Group (1997-2004).

William Irving (42)

Year of Election or Appointment: 2005

Vice President of Spartan Short-Term Treasury Bond Index, Spartan Intermediate Treasury Bond Index, and Spartan Long-Term Treasury Bond Index. Dr. Irving also serves as Vice President of other funds advised by FMR. Prior to assuming his current responsibilities, Dr. Irving worked as a quantitative analyst and portfolio manager.

Eric D. Roiter (58)

Year of Election or Appointment: 2005

Secretary of Spartan Short-Term Treasury Bond Index, Spartan Intermediate Treasury Bond Index, and Spartan Long-Term Treasury Bond Index. He also serves as Secretary of other Fidelity funds; Vice President, General Counsel, and Secretary of FMR Co., Inc. (2001-present) and FMR; Assistant Secretary of Fidelity Management & Research (U.K.) Inc. (2001-present), Fidelity Research & Analysis Company (2001-present), and Fidelity Investments Money Management, Inc. (2001-present). Mr. Roiter is an Adjunct Member, Faculty of Law, at Boston College Law School (2003-present). Previously, Mr. Roiter served as Vice President and Secretary of Fidelity Distributors Corporation (FDC) (1998-2005).

Scott C. Goebel (39)

Year of Election or Appointment: 2007

Assistant Secretary of Spartan Short-Term Treasury Bond Index, Spartan Intermediate Treasury Bond Index, and Spartan Long-Term Treasury Bond Index. Mr. Goebel also serves as Assistant Secretary of other Fidelity funds (2007-present), Vice President and Secretary of FDC (2006-present), and is an employee of FMR.

R. Stephen Ganis (40)

Year of Election or Appointment: 2006

Anti-Money Laundering (AML) officer of Spartan Short-Term Treasury Bond Index, Spartan Intermediate Treasury Bond Index, and Spartan Long-Term Treasury Bond Index. Mr. Ganis also serves as AML officer of other Fidelity funds (2006-present) and FMR Corp. (2003-present). Before joining Fidelity Investments, Mr. Ganis practiced law at Goodwin Procter, LLP (2000-2002).

Joseph B. Hollis (58)

Year of Election or Appointment: 2006

Chief Financial Officer of Spartan Short-Term Treasury Bond Index, Spartan Intermediate Treasury Bond Index, and Spartan Long-Term Treasury Bond Index. Mr. Hollis also serves as Chief Financial Officer of other Fidelity funds. Mr. Hollis is President of Fidelity Pricing and Cash Management Services (FPCMS) (2005-present). Mr. Hollis also serves as President and Director of Fidelity Service Company, Inc. (2006-present). Previously, Mr. Hollis served as Senior Vice President of Cash Management Services (1999-2002) and Investment Management Operations (2002-2005).

Kenneth A. Rathgeber (59)

Year of Election or Appointment: 2005

Chief Compliance Officer of Spartan Short-Term Treasury Bond Index, Spartan Intermediate Treasury Bond Index, and Spartan Long-Term Treasury Bond Index. Mr. Rathgeber also serves as Chief Compliance Officer of other Fidelity funds (2004-present) and Executive Vice President of Risk Oversight for Fidelity Investments (2002-present). He is Chief Compliance Officer of FMR (2005-present), FMR Co., Inc. (2005-present), Fidelity Management & Research (U.K.) Inc. (2005-present), Fidelity Research & Analysis Company (2005-present), Fidelity Investments Money Management, Inc. (2005-present), and Strategic Advisers, Inc. (2005-present). Previously, Mr. Rathgeber served as Executive Vice President and Chief Operating Officer for Fidelity Investments Institutional Services Company, Inc. (1998-2002).

Bryan A. Mehrmann (45)

Year of Election or Appointment: 2005

Deputy Treasurer of Spartan Short-Term Treasury Bond Index, Spartan Intermediate Treasury Bond Index, and Spartan Long-Term Treasury Bond Index. Mr. Mehrmann also serves as Deputy Treasurer of other Fidelity funds (2005-present) and is an employee of FMR. Previously, Mr. Mehrmann served as Vice President of Fidelity Investments Institutional Services Group (FIIS)/Fidelity Investments Institutional Operations Corporation, Inc. (FIIOC) Client Services (1998-2004).

Kenneth B. Robins (37)

Year of Election or Appointment: 2005

Deputy Treasurer of Spartan Short-Term Treasury Bond Index, Spartan Intermediate Treasury Bond Index, and Spartan Long-Term Treasury Bond Index. Mr. Robins also serves as Deputy Treasurer of other Fidelity funds (2005-present) and is an employee of FMR (2004-present). Before joining Fidelity Investments, Mr. Robins worked at KPMG LLP, where he was a partner in KPMG's department of professional practice (2002-2004) and a Senior Manager (1999-2000). In addition, Mr. Robins served as Assistant Chief Accountant, United States Securities and Exchange Commission (2000-2002).

Robert G. Byrnes (40)

Year of Election or Appointment: 2005

Assistant Treasurer of Spartan Short-Term Treasury Bond Index, Spartan Intermediate Treasury Bond Index, and Spartan Long-Term Treasury Bond Index. Mr. Byrnes also serves as Assistant Treasurer of other Fidelity funds (2005-present) and is an employee of FMR (2005-present). Previously, Mr. Byrnes served as Vice President of FPCMS (2003-2005). Before joining Fidelity Investments, Mr. Byrnes worked at Deutsche Asset Management where he served as Vice President of the Investment Operations Group (2000-2003).

Peter L. Lydecker (53)

Year of Election or Appointment: 2005

Assistant Treasurer of Spartan Short-Term Treasury Bond Index, Spartan Intermediate Treasury Bond Index, and Spartan Long-Term Treasury Bond Index. Mr. Lydecker also serves as Assistant Treasurer of other Fidelity funds (2004) and is an employee of FMR.

Gary W. Ryan (48)

Year of Election or Appointment: 2005

Assistant Treasurer of Spartan Short-Term Treasury Bond Index, Spartan Intermediate Treasury Bond Index, and Spartan Long-Term Treasury Bond Index. Mr. Ryan also serves as Assistant Treasurer of other Fidelity funds (2005-present) and is an employee of FMR (2005-present). Previously, Mr. Ryan served as Vice President of Fund Reporting in FPCMS (1999-2005).

Salvatore Schiavone (41)

Year of Election or Appointment: 2005

Assistant Treasurer of Spartan Short-Term Treasury Bond Index, Spartan Intermediate Treasury Bond Index, and Spartan Long-Term Treasury Bond Index. Mr. Schiavone also serves as Assistant Treasurer of other Fidelity funds (2005-present) and is an employee of FMR (2005-present). Before joining Fidelity Investments, Mr. Schiavone worked at Deutsche Asset Management, where he most recently served as Assistant Treasurer (2003-2005) of the Scudder Funds and Vice President and Head of Fund Reporting (1996-2003).

Annual Report

Distributions

The Board of Trustees of each fund voted to pay to shareholders of record at the opening of business on record date, the following distributions per share derived from capital gains realized from sales of portfolio securities, and dividends derived from net investment income:

Fund

Pay
Date

Record
Date

Capital
Gains

Spartan Short-Term Treasury Bond Index Fund

04/16/07

04/13/07

$0.01

Spartan Intermediate Treasury Bond Index Fund

04/16/07

04/13/07

$0.01

Spartan Long-Term Treasury Bond Index Fund

04/16/07

04/13/07

$0.02

A percentage of the dividends distributed during the fiscal year for the following funds was derived from interest on U.S. Government securities which is generally exempt from state income tax:

Spartan Short-Term Treasury Bond Index Fund

100%

Spartan Intermediate Treasury Bond Index Fund

100%

Spartan Long-Term Treasury Bond Index Fund

100%

The funds hereby designate the amounts noted below as distributions paid during the period January 1, 2007 to February 28, 2007 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders:

Fund

Spartan Short-Term Treasury Bond Index Fund

$ 1,247,628

Spartan Intermediate Treasury Bond Index Fund

$ 5,060,176

Spartan Long-Term Treasury Bond Index Fund

$ 123,248

The fund will notify shareholders in January 2008 of amounts for use in preparing 2007 income tax returns.

Annual Report

Managing Your Investments

Fidelity offers several ways to conveniently manage your personal investments via your telephone or PC. You can access your account information, conduct trades and research your investments 24 hours a day.

By Phone

Fidelity Automated Service Telephone provides a single toll-free number to access account balances, positions, quotes and trading. It's easy to navigate the service, and on your first call, the system will help you create a personal identification number (PIN) for security.

(phone_graphic)

Fidelity Automated
Service Telephone (FAST®)
1-800-544-5555

Press

1   For mutual fund and brokerage trading.

2   For quotes.*

3   For account balances and holdings.

4   To review orders and mutual
fund activity.

5   To change your PIN.

*0   To speak to a Fidelity representative.

By PC

Fidelity's web site on the Internet provides a wide range of information, including daily financial news, fund performance, interactive planning tools and news about Fidelity products and services.

(computer_graphic)

Fidelity's Web Site
www.fidelity.com

* When you call the quotes line, please remember that a fund's yield and return will vary and, except for money market funds, share price will also vary. This means that you may have a gain or loss when you sell your shares. There is no assurance that money market funds will be able to maintain a stable $1 share price; an investment in a money market fund is not insured or guaranteed by the U.S. government. Total returns are historical and include changes in share price, reinvestment of dividends and capital gains, and the effects of any sales charges.

Annual Report

To Write Fidelity

We'll give your correspondence immediate attention and send you written confirmation upon completion of your request.

(letter_graphic)

Making Changes
To Your Account

(such as changing name, address, bank, etc.)

Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0002

(letter_graphic)

For Non-Retirement
Accounts

Buying shares

Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0003

Overnight Express
Fidelity Investments
Attn: Distribution Services
100 Crosby Parkway - KC1H
Covington, KY 41015

Selling shares

Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0035

Overnight Express
Fidelity Investments
Attn: Distribution Services
100 Crosby Parkway - KC1H
Covington, KY 41015

General Correspondence

Fidelity Investments
P.O. Box 500
Merrimack, NH 03054-0500

(letter_graphic)

For Retirement
Accounts

Buying shares

Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0003

Selling shares

Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0035

Overnight Express
Fidelity Investments
Attn: Distribution Services
100 Crosby Parkway - KC1H
Covington, KY 41015

General Correspondence

Fidelity Investments
P.O. Box 500
Merrimack, NH 03054-0500

Annual Report

Investment Adviser

Fidelity Management & Research
Company
Boston, MA

Investment Sub-Adviser

Fidelity Investments Money Management, Inc.
Fidelity Research & Analysis Company
(formerly Fidelity Management &
Research (Far East) Inc.)

Fidelity International Investment Advisors
Fidelity International Investment Advisors (U.K.) Limited

General Distributor

Fidelity Distributors Corporation
Boston, MA

Transfer and Service Agent

Fidelity Service Company, Inc.
Boston, MA

Custodian

The Bank of New York New York, NY

The Fidelity Telephone Connection

Mutual Fund 24-Hour Service

Exchanges/Redemptions
and Account Assistance 1-800-544-6666

Product Information 1-800-544-6666

Retirement Accounts 1-800-544-4774
(8 a.m. - 9 p.m.)

TDD Service 1-800-544-0118
for the deaf and hearing impaired
(9 a.m. - 9 p.m. Eastern time)

Fidelity Automated Service
Telephone (FAST®) (automated graphic)    1-800-544-5555

(automated graphic)    Automated line for quickest service

LBX-UANN-0407
1.821047.101

(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
82 Devonshire St., Boston, MA 02109
www.fidelity.com

Item 2. Code of Ethics

As of the end of the period, February 28, 2007, Fidelity Concord Street Trust (the trust) has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its President and Treasurer and its Chief Financial Officer. A copy of the code of ethics is filed as an exhibit to this Form N-CSR.

Item 3. Audit Committee Financial Expert

The Board of Trustees of the trust has determined that Marie L. Knowles is an audit committee financial expert, as defined in Item 3 of Form N-CSR.   Ms. Knowles is independent for purposes of Item 3 of Form N-CSR.  

Item 4. Principal Accountant Fees and Services

(a) Audit Fees.

For the fiscal years ended February 28, 2007 and February 28, 2006, the aggregate Audit Fees billed by PricewaterhouseCoopers LLP (PwC) for professional services rendered for the audits of the financial statements, or services that are normally provided in connection with statutory and regulatory filings or engagements for those fiscal years, for the Spartan Extended Market Index Fund, Spartan Intermediate Treasury Bond Index Fund, Spartan International Index Fund, Spartan Long-Term Treasury Bond Index Fund, Spartan Short-Term Treasury Bond Index Fund, Spartan Total Market Fund and Spartan U.S. Equity Index Fund (the funds) and for all funds in the Fidelity Group of Funds are shown in the table below.

Fund

2007A

2006A,B

Spartan Extended Market Index Fund

$69,000

$59,000

Spartan Intermediate Treasury Bond Index Fund

$60,000

$44,000

Spartan International Index Fund

$67,000

$57,000

Spartan Long-Term Treasury Bond Index Fund

$60,000

$44,000

Spartan Short-Term Treasury Bond Index Fund

$61,000

$44,000

Spartan Total Market Index Fund

$75,000

$64,000

Spartan U.S. Equity Index Fund

$144,000

$141,000

All funds in the Fidelity Group of Funds audited by PwC

 

$14,100,000

 

$12,500,000

A

Aggregate amounts may reflect rounding.

B

Spartan Intermediate Treasury Bond Index Fund, Spartan Long-Term Treasury Bond Index Fund and Spartan Short-Term Treasury Bond Index Fund commenced operations on December 20, 2005.

(b) Audit-Related Fees.

In each of the fiscal years ended February 28, 2007 and February 28, 2006, the aggregate Audit-Related Fees billed by PwC for services rendered for assurance and related services to each fund that are reasonably related to the performance of the audit or review of the fund's financial statements, but not reported as Audit Fees, are shown in the table below.

Fund

2007A

2006A,B

Spartan Extended Market Index Fund

$0

$0

Spartan Intermediate Treasury Bond Index Fund

$0

$0

Spartan International Index Fund

$0

$0

Spartan Long-Term Treasury Bond Index Fund

$0

$0

Spartan Short-Term Treasury Bond Index Fund

$0

$0

Spartan Total Market Index Fund

$0

$0

Spartan U.S. Equity Index Fund

$0

$0

A

Aggregate amounts may reflect rounding.

B

Spartan Intermediate Treasury Bond Index Fund, Spartan Long-Term Treasury Bond Index Fund and Spartan Short-Term Treasury Bond Index Fund commenced operations on December 20, 2005.

In each of the fiscal years ended February 28, 2007 and February 28, 2006, the aggregate Audit-Related Fees that were billed by PwC that were required to be approved by the Audit Committee for services rendered on behalf of Fidelity Management & Research Company (FMR) and entities controlling, controlled by, or under common control with FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the funds ("Fund Service Providers") for assurance and related services that relate directly to the operations and financial reporting of each fund that are reasonably related to the performance of the audit or review of the fund's financial statements, but not reported as Audit Fees, are shown in the table below.

Billed By

2007A

2006A

PwC

$0

$0

A

Aggregate amounts may reflect rounding.

Fees included in the audit-related category comprise assurance and related services (e.g., due diligence services) that are traditionally performed by the independent registered public accounting firm. These audit-related services include due diligence related to mergers and acquisitions, accounting consultations and audits in connection with acquisitions, internal control reviews, attest services that are not required by statute or regulation and consultation concerning financial accounting and reporting standards.

(c) Tax Fees.

In each of the fiscal years ended February 28, 2007 and February 28, 2006, the aggregate Tax Fees billed by PwC for professional services rendered for tax compliance, tax advice, and tax planning for each fund is shown in the table below.

Fund

2007A

2006A,B

Spartan Extended Market Index Fund

$2,900

$2,700

Spartan Intermediate Treasury Bond Index Fund

$2,900

$2,500

Spartan International Index Fund

$2,900

$2,700

Spartan Long-Term Treasury Bond Index Fund

$2,900

$2,500

Spartan Short-Term Treasury Bond Index Fund

$2,900

$2,500

Spartan Total Market Index Fund

$2,900

$2,700

Spartan U.S. Equity Index Fund

$3,800

$3,600

A

Aggregate amounts may reflect rounding.

B

Spartan Intermediate Treasury Bond Index Fund, Spartan Long-Term Treasury Bond Index Fund and Spartan Short-Term Treasury Bond Index Fund commenced operations on December 20, 2005.

In each of the fiscal years ended February 28, 2007 and February 28, 2006, the aggregate Tax Fees billed by PwC that were required to be approved by the Audit Committee for professional services rendered on behalf of the Fund Service Providers for tax compliance, tax advice, and tax planning that relate directly to the operations and financial reporting of each fund is shown in the table below.

Billed By

2007A

2006A

PwC

$0

$0

A

Aggregate amounts may reflect rounding.

Fees included in the Tax Fees category comprise all services performed by professional staff in the independent registered public accounting firm's tax division except those services related to the audit. Typically, this category would include fees for tax compliance, tax planning, and tax advice. Tax compliance, tax advice, and tax planning services include preparation of original and amended tax returns, claims for refund and tax payment-planning services, assistance with tax audits and appeals, tax advice related to mergers and acquisitions and requests for rulings or technical advice from taxing authorities.

(d) All Other Fees.

In each of the fiscal years ended February 28, 2007 and February 28, 2006, the aggregate Other Fees billed by PwC for all other non-audit services rendered to the funds is shown in the table below.

Fund

2007A

2006A,B

Spartan Extended Market Index Fund

$1,900

$1,900

Spartan Intermediate Treasury Bond Index Fund

$900

$300

Spartan International Index Fund

$2,100

$1,800

Spartan Long-Term Treasury Bond Index Fund

$800

$300

Spartan Short-Term Treasury Bond Index Fund

$800

$300

Spartan Total Market Index Fund

$2,900

$2,800

Spartan U.S. Equity Index Fund

$12,100

$14,100

A

Aggregate amounts may reflect rounding.

B

Spartan Intermediate Treasury Bond Index Fund, Spartan Long-Term Treasury Bond Index Fund and Spartan Short-Term Treasury Bond Index Fund commenced operations on December 20, 2005.

In each of the fiscal years ended February 28, 2007 and February 28, 2006, the aggregate Other Fees billed by PwC that were required to be approved by the Audit Committee for all other non-audit services rendered on behalf of the Fund Service Providers that relate directly to the operations and financial reporting of each fund is shown in the table below.

Billed By

2007A

2006A

PwC

$125,000

$155,000

A

Aggregate amounts may reflect rounding.

Fees included in the All Other Fees category include services related to internal control reviews, strategy and other consulting, financial information systems design and implementation, consulting on other information systems, and other tax services unrelated to the fund.

(e) (1)

Audit Committee Pre-Approval Policies and Procedures:

The trust's Audit Committee must pre-approve all audit and non-audit services provided by the independent registered public accounting firm relating to the operations or financial reporting of the funds. Prior to the commencement of any audit or non-audit services to a fund, the Audit Committee reviews the services to determine whether they are appropriate and permissible under applicable law.

The trust's Audit Committee has adopted policies and procedures to, among other purposes, provide a framework for the Committee's consideration of non-audit services by the audit firms that audit the Fidelity funds. The policies and procedures require that any non-audit service provided by a fund audit firm to a Fidelity Fund and any non-audit service provided by a fund auditor to a Fund Service Provider that relates directly to the operations and financial reporting of a Fidelity fund (Covered Service) are subject to approval by the Audit Committee before such service is provided. Non-audit services provided by a fund audit firm for a Fund Service Provider that do not relate directly to the operations and financial reporting of a Fidelity fund (Non-Covered Service) but that are expected to exceed $50,000 are also subject to pre-approval by the Audit Committee.

All Covered Services, as well as Non-Covered Services that are expected to exceed $50,000, must be approved in advance of provision of the service either: (i) by formal resolution of the Audit Committee, or (ii) by oral or written approval of the service by the Chair of the Audit Committee (or if the Chair is unavailable, such other member of the Audit Committee as may be designated by the Chair to act in the Chair's absence). The approval contemplated by (ii) above is permitted where the Treasurer determines that action on such an engagement is necessary before the next meeting of the Audit Committee. Neither pre-approval nor advance notice of Non-Covered Service engagements for which fees are not expected to exceed $50,000 is required; such engagements are to be reported to the Audit Committee monthly.

(e) (2)

Services approved pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X:

 

Audit-Related Fees:

There were no amounts that were approved by the Audit Committee pursuant to the de minimis exception for the fiscal years ended February 28, 2007 and February 28, 2006 on behalf of each fund.

There were no amounts that were required to be approved by the Audit Committee pursuant to the de minimis exception for the fiscal years ended February 28, 2007 and February 28, 2006 on behalf of the Fund Service Providers that relate directly to the operations and financial reporting of each fund.

Tax Fees:

There were no amounts that were approved by the Audit Committee pursuant to the de minimis exception for the fiscal years ended February 28, 2007 and February 28, 2006 on behalf of each fund.

There were no amounts that were required to be approved by the Audit Committee pursuant to the de minimis exception for the fiscal years ended February 28, 2007 and February 28, 2006 on behalf of the Fund Service Providers that relate directly to the operations and financial reporting of each fund.

All Other Fees:

There were no amounts that were approved by the Audit Committee pursuant to the de minimis exception for the fiscal years ended February 28, 2007 and February 28, 2006 on behalf of each fund.

There were no amounts that were required to be approved by the Audit Committee pursuant to the de minimis exception for the fiscal years ended February 28, 2007 and February 28, 2006 on behalf of the Fund Service Providers that relate directly to the operations and financial reporting of each fund.

(f) Not applicable.

(g) For the fiscal years ended February 28, 2007 and February 28, 2006, the aggregate fees billed by PwC of $1,300,000A and $1,215,000A for non-audit services rendered on behalf of the funds, FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) and Fund Service Providers relating to Covered Services and Non-Covered Services are shown in the table below.

 

2007A

2006A

Covered Services

$170,000

$215,000

Non-Covered Services

$1,130,000

$1,000,000

A

Aggregate amounts may reflect rounding.

(h) The trust's Audit Committee has considered Non-Covered Services that were not pre-approved that were provided by PwC to Fund Service Providers to be compatible with maintaining the independence of PwC in its audit of the funds, taking into account representations from PwC, in accordance with Independence Standards Board Standard No.1, regarding its independence from the funds and their related entities.

Item 5. Audit Committee of Listed Registrants

Not applicable.

Item 6. Schedule of Investments

Not applicable.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies

Not applicable.

Item 9. Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders

There were no material changes to the procedures by which shareholders may recommend nominees to the trust's Board of Trustees.

Item 11. Controls and Procedures

(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the trust's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.

(a)(ii) There was no change in the trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the trust's internal control over financial reporting.

Item 12. Exhibits

(a)

(1)

Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH.

(a)

(2)

Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT.

(a)

(3)

Not applicable.

(b)

 

Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Fidelity Concord Street Trust

By:

/s/Kimberley Monasterio

 

Kimberley Monasterio

 

President and Treasurer

 

 

Date:

April 20, 2007

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:

/s/Kimberley Monasterio

 

Kimberley Monasterio

 

President and Treasurer

 

 

Date:

April 20, 2007

By:

/s/Joseph B. Hollis

 

Joseph B. Hollis

 

Chief Financial Officer

 

 

Date:

April 20, 2007